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2010issue C0120-31

Building a Vortex Indicator from high-low distances

The Vortex Indicator is assembled as a directional-movement oscillator from two summed high-low distances. The archive workflow keeps every bar's computed up and down values, including on inside bars, and presents a 14-period daily series as the default lookback.

  • The Vortex Indicator sums the distance from the prior low to the current high for the up component and the distance from the prior high to the current low for the down component.
  • Unlike Wilder directional movement, the Vortex construction never replaces a bar's computed up or down value with zero, including on inside bars.
  • A 14-period daily Vortex series is the default lookback because that is the period used in the original directional-movement work that inspired the indicator.
  • Editorial view: how you define those distances, whether you zero inside bars, and how you add a Trend filter all change the signal you get.
Entries in this reading3 entries
Vortex indicator1 readingCurrent trackAverage Directional Index71 readingsTrend filter137 readings

Two running distances

The Vortex Indicator is built as a directional-movement oscillator. The up component is formed by summing the distance from the prior low to the current high. The down component is formed by summing the distance from the prior high to the current low.

Those two sums are the construction. Each bar contributes its computed up distance and its computed down distance to the matching total.

Inside bars are not zeroed

Unlike Wilder directional movement, the Vortex construction never replaces a bar's computed up or down value with zero. That includes inside bars. An inside bar still contributes its computed up and down distances to the two sums.

The default lookback

A 14-period daily Vortex series is presented as the default lookback. That period is used because it is the period from the original directional-movement work that inspired the indicator.

Editorial view: the archive explains the Vortex Indicator against Wilder directional movement. The Average Directional Index belongs to that same directional-movement construction. The archive contrast is only about never replacing a bar's computed up or down value with zero, including on inside bars. It is not a claim that the Vortex Indicator replaces the Average Directional Index.

Editorial view: a Trend filter can be added after the two Vortex components are built. The archive does not specify that filter. Adding one is a later construction choice, and it changes the signal you get.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
37 of 56 in the Average Directional Index track
201072-72 pp.Next on Average Directional IndexConstructing ADX, RSI, and MACD price filtersAssemble the Average Directional Movement Index as a quantitative reading of market trend intensity built from directional price movement rather than from price level alone.
All readings on this track · 56 readings
  1. 1986Cycle-aligned directional trend indicator
  2. 1987What crossover and directional entry rules actually compare
  3. 1988A directional-line cross needs a trend filter, an extreme-point rule, and a dollar stop
  4. 1988Constructing true range by offset addressing
  5. 1988Constructing directional movement from bar range
  6. 1988Average directional index construction: recursive smoothing and lookback offset
  7. 1988Staged Average Directional Index construction with Relative Strength Index confirmation and stop alerts
  8. 1988Average Directional Index construction with frozen true range and directional rules
  9. 1991Constructing the average directional index from range expansion and true range
  10. 1991Constructing five-session forecasts from stochastic, ADX, and MACD inputs
  11. 1993Constructing the average directional index from directional movement and true range
  12. 1993Confirming n-bar breakouts with ADX and DX filters
  13. 1994Constructing a Bollinger band-width trend filter
  14. 1994A pre-trade checklist that can refuse a long three ways
  15. 1997An ADX threshold and a moving average as a trend filter
  16. 1998Regime filters for mutated indicators
  17. 1999Building the average directional index from range extension and true range
  18. 2000Evaluating ADX, RSI, and moving averages in a multi-stock warehouse
  19. 2000Stochastic pop as a filtered continuation setup
  20. 2000Onset and exit from one average directional index
  21. 2002Joint ADX and MACD readout for trend strength and direction
  22. 2003Adaptive Donchian breakout with implied volatility and volume
  23. 2004The average directional index as a regime gate for the relative strength index and the stochastic oscillator
  24. 2004Constructing true-range-specified volume as a directional filter
  25. 2005Constructing a multi-filter penny stock breakout procedure
  26. 2005Construct one playbook that flips with session regime
  27. 2005Combining Bollinger Bands, the average directional index, and Fibonacci retracement on currency pairs
  28. 2006Assembling an adaptive price zone from double-smoothed averages
  29. 2006An ADX strength gate for MACD and the stochastic oscillator
  30. 2007Directional movement as a filter plus trigger
  31. 2007Constructing a veto-first trend permission stack
  32. 2007ADX gates for trend end, range, and reversal
  33. 2008Constructing a nine-cell directional-ratio grid
  34. 2008Average directional index and directional trend indicator lookbacks as trend-filter parameters
  35. 2008A holding-matched market lens from averages and directional-line crosses
  36. 2008A nine-cell directional scoreboard for multi-horizon entries
  37. 2010Building a Vortex Indicator from high-low distances
  38. 2010Constructing ADX, RSI, and MACD price filters
  39. 2011Constructing a volume zone oscillator with a moving-average and Average Directional Index regime filter
  40. 2011A volume zone oscillator conditioned by an Average Directional Index filter
  41. 2011Candlestick names need volume-price, ADX, and moving-average checks
  42. 2012Clustered average-directional-index traces as a trend-start filter
  43. 2012Average Directional Index cluster filters for trend-start signals
  44. 2012Confirming a trend start or turn with a triple ADX cluster
  45. 2013Constructing a late-entry stack from a signed DMI oscillator
  46. 2013A directional oscillator and its stochastic as a stacked timing filter
  47. 2013ADX cluster lookbacks are a locked specification, not a chart label
  48. 2013Combining moving averages, stochastics, and ADX in a daily scan
  49. 2015Assembling the Average Directional Index from directional movement
  50. 2016How an Average Directional Index filter and a breakout entry form one procedure
  51. 2016Score RSI and stochastic crossings only when ADX confirms the trend
  52. 2018Constructing an ADX filter for intraday breakouts
  53. 2018An ADX volatility gate for prior-day breakouts
  54. 2019Exponential deviation bands with a moving average, RSI and ADX
  55. 2020A normalized-slope trend filter from linear regression
  56. 2020Gating volatility-momentum divergences with a Trend filter
By fieldIndicators and filters682 readingsBy year201075 readings
All 71 readings tagged Average Directional Index
Also on Average Directional Index5 readings
1993Confirming n-bar breakouts with ADX and DX filters1994Constructing a Bollinger band-width trend filter1997An ADX threshold and a moving average as a trend filter1998Regime filters for mutated indicators2007Constructing a veto-first trend permission stack