2010·issue C01·95-96

Constructing the vortex indicator from OHLC bars

This archive note rebuilds the vortex pair from each bar high, each bar low, and the prior close. In editorial terms, a later plus-minus cross is then a constructed hypothesis about that recipe, not a finished signal.

• Plus vortex movement is the absolute distance from the current bar high to the previous bar low; minus vortex movement is the absolute distance from the current bar low to the previous bar high.
• True range is the largest of the current high-low span and the two absolute gaps from the prior close to the current high and the current low.
• Each finished line is one movement series summed over the lookback length and then divided by the lookback sum of true range, using a single integer window with a documented default of 13 periods.
• The plus and minus series are drawn as two separate solid lines in a new pane, and the same construction is shown on a one-hour euro-dollar candlestick chart.