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Technical Studies Reference


Vortex

This study calculates and displays two Vortex Indicators of the Price Data.

Let \(H_t\), \(L_t\), and \(C_t\) be the values of the High, Low, and Close Prices, respectively, at Index \(t\). Let the Input Vortex Length be denoted as \(n\).

We begin by computing the True Range, as well as two other quantities called the Vortex Movement - Up and Vortex Movement - Down. These values of the latter two quantities at Index \(t\) are denoted as \(VM^{(Up)}_t\) and \(VM^{(Down)}_t\), respectively. We compute them as follows.

\(\displaystyle{VM^{(Up)}_t = \left\{ \begin{matrix} |H_0 - L_0| & t = 0 \\ |H_t - L_{t - 1}| & t > 0 \end{matrix}\right .}\)

\(\displaystyle{VM^{(Down)}_t = \left\{ \begin{matrix} |L_0 - H_0| & t = 0 \\ |L_t - H_{t - 1}| & t > 0 \end{matrix}\right .}\)

We then compute the two Vortex Indicators, denoted \(VI^{(+)}_t(n)\) and \(VI^{(-)}_t(n)\), as follows.

\(\displaystyle{VI^{(+)}_t(n) = \left\{ \begin{matrix} \Sigma_{i = 0}^t VM^{(Up)}_t / \Sigma_{i = 0}^t TR_t & t < n - 1 \\ \Sigma_{i = t - n + 1}^t VM^{(Up)}_t / \Sigma_{i = t - n + 1}^t TR_t & t \geq n - 1 \end{matrix}\right .}\)

\(\displaystyle{VI^{(-)}_t(n) = \left\{ \begin{matrix} \Sigma_{i = 0}^t VM^{(Down)}_t / \Sigma_{i = 0}^t TR_t & t < n - 1 \\ \Sigma_{i = t - n + 1}^t VM^{(Down)}_t / \Sigma_{i = t - n + 1}^t TR_t & t \geq n - 1 \end{matrix}\right .}\)

These formulas hold provided that the denominators are nonzero.

For an explanation of the Sigma (\(\Sigma\)) notation for summation, refer to our description here.

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Vortex.366.scss


*Last modified Thursday, 02nd September, 2021.