feat: Dpo, Tsi, Vortex, Bpp, Cci, Cfo, Tr, Ui, Vc, Vov, Vr, Vs, Mfi, Nvi, Obv, Pvi, Pvo, Pvol, Pvr, Pvt, Tvi

lib/momentum/Vortex.cs

@@ -0,0 +1,162 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VORTEX: Vortex Indicator
+/// A technical indicator consisting of two oscillating lines that identify trend reversals
+/// and confirm current trends based on the highs and lows of the previous period.
+/// </summary>
+/// <remarks>
+/// The Vortex calculation process:
+/// 1. Calculate True Range (TR):
+///    TR = max(High - Low, |High - Previous Close|, |Low - Previous Close|)
+/// 2. Calculate +VM (Positive Movement):
+///    +VM = |Current High - Previous Low|
+/// 3. Calculate -VM (Negative Movement):
+///    -VM = |Current Low - Previous High|
+/// 4. Calculate period sums:
+///    TR Period Sum = Sum(TR, period)
+///    +VM Period Sum = Sum(+VM, period)
+///    -VM Period Sum = Sum(-VM, period)
+/// 5. Calculate +VI and -VI:
+///    +VI = +VM Period Sum / TR Period Sum
+///    -VI = -VM Period Sum / TR Period Sum
+///
+/// Key characteristics:
+/// - Two oscillating lines (+VI and -VI)
+/// - No upper or lower bounds
+/// - Default period is 14 days
+/// - Crossovers signal trend changes
+/// - Uses true range normalization
+///
+/// Formula:
+/// +VI = Sum(+VM, period) / Sum(TR, period)
+/// -VI = Sum(-VM, period) / Sum(TR, period)
+///
+/// Market Applications:
+/// - Trend identification
+/// - Trend reversals
+/// - Trend confirmation
+/// - Trading signals
+/// - Market momentum
+///
+/// Sources:
+///     Etienne Botes and Douglas Siepman - Original development (2010)
+///     https://www.investopedia.com/terms/v/vortex-indicator-vi.asp
+///
+/// Note: When +VI crosses above -VI, it signals a potential uptrend, and vice versa
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vortex : AbstractBase
+{
+    private readonly CircularBuffer _tr;
+    private readonly CircularBuffer _vmPlus;
+    private readonly CircularBuffer _vmMinus;
+    private double _prevHigh;
+    private double _prevLow;
+    private double _prevClose;
+    public double _viPlus { get; set; }
+    public double _viMinus { get; set; }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vortex(int period = 14)
+    {
+        WarmupPeriod = period + 1;  // Need one extra period for previous values
+        Name = $"VORTEX({period})";
+        _tr = new CircularBuffer(period);
+        _vmPlus = new CircularBuffer(period);
+        _vmMinus = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vortex(object source, int period = 14) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevHigh = 0;
+        _prevLow = 0;
+        _prevClose = 0;
+        _viPlus = 0;
+        _viMinus = 0;
+        _tr.Clear();
+        _vmPlus.Clear();
+        _vmMinus.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous values
+        if (_index == 1)
+        {
+            _prevHigh = BarInput.High;
+            _prevLow = BarInput.Low;
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate True Range
+        double tr = Math.Max(BarInput.High - BarInput.Low,
+                   Math.Max(Math.Abs(BarInput.High - _prevClose),
+                          Math.Abs(BarInput.Low - _prevClose)));
+
+        // Calculate VM+ and VM-
+        double vmPlus = Math.Abs(BarInput.High - _prevLow);
+        double vmMinus = Math.Abs(BarInput.Low - _prevHigh);
+
+        // Add values to buffers
+        _tr.Add(tr);
+        _vmPlus.Add(vmPlus);
+        _vmMinus.Add(vmMinus);
+
+        // Calculate VI+ and VI-
+        double trSum = _tr.Sum();
+        if (Math.Abs(trSum) > double.Epsilon)
+        {
+            _viPlus = _vmPlus.Sum() / trSum;
+            _viMinus = _vmMinus.Sum() / trSum;
+        }
+
+        // Store current values for next calculation
+        _prevHigh = BarInput.High;
+        _prevLow = BarInput.Low;
+        _prevClose = BarInput.Close;
+
+        // Return the difference between VI+ and VI-
+        double vortex = _viPlus - _viMinus;
+
+        IsHot = _index >= WarmupPeriod;
+        return vortex;
+    }
+
+    /// <summary>
+    /// Gets the positive Vortex line (VI+)
+    /// </summary>
+    public double ViPlus => _viPlus;
+
+    /// <summary>
+    /// Gets the negative Vortex line (VI-)
+    /// </summary>
+    public double ViMinus => _viMinus;
+}