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Vortex

Incremental, causal technical analysis documentation

Summary

Vortex is RTTA's streaming implementation of: Positive/negative Vortex trend movement indicator.

Update API

result = rtta.Vortex().update(close, high, low)

The update(...) call consumes one observation using close, high, low. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

Vortex implements the streaming form of Positive/negative Vortex trend movement indicator. Each update(...) call consumes exactly one new observation tuple and advances the internal state before returning the current value or result struct.

Recurrence

Let \(z_t = (close_t, high_t, low_t)\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[TR_t=\max(high_t-low_t,\ |high_t-close_{t-1}|,\ |low_t-close_{t-1}|)\]
\[VM^+_t=|high_t-low_{t-1}|, \qquad VM^-_t=|low_t-high_{t-1}|\]
\[VI^+_t=\frac{\sum_{i\in W_t}VM^+_i}{\sum_{i\in W_t}TR_i}, \qquad VI^-_t=\frac{\sum_{i\in W_t}VM^-_i}{\sum_{i\in W_t}TR_i}\]

The result fields are \(VI^+_t\), \(VI^-_t\), and their difference.

update(...) returns a result struct with fields positive, negative, difference.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class Vortex.

Reference