Vortex Indicator (VI)

Created by Etienne Botes and Douglas Siepman, the Vortex Indicator is a measure of price directional movement. It includes positive and negative indicators, and is often used to identify trends and reversals. [Discuss] 💬

// C# usage syntax
IReadOnlyList<VortexResult> results =
  bars.ToVortex(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) to consider. Must be greater than 1 and is usually between 14 and 30.

Historical price bars requirements

You must have at least N+1 periods of bars to cover the warmup periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<VortexResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N periods will have null values for VI since there's not enough data to calculate.

VortexResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Pvi	double	Positive Vortex Indicator (VI+)
Nvi	double	Negative Vortex Indicator (VI-)

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

This indicator is not chain-enabled and must be generated from bars. It cannot be used for further processing by other chain-enabled indicators.

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

VortexList vortexList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  vortexList.Add(bar);
}

// based on `ICollection<VortexResult>`
IReadOnlyList<VortexResult> results = vortexList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
VortexHub observer = barHub.ToVortexHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<VortexResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.