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Vortex Indicator

Classic trend momentum classic breakout

The Vortex Indicator helps identify the start of a new trend or the continuation of an existing one.

Visual Example

Vortex Indicator — annotated preview mapping to core implementation

Synthetic ideal per library logic. Generated 2026-06-25 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).

Description

The Vortex Indicator indicator is a technical analysis tool that the vortex indicator helps identify the start of a new trend or the continuation of an existing one.

This indicator is primarily used for identifying key market conditions. It provides a robust signal that can be easily integrated into both simple strategies and more complex machine learning feature pipelines. Compared to its alternatives, it offers a distinct balance of responsiveness and stability.

Traders often combine this with other metrics to confirm signals and avoid false positives during sideways market regimes. It remains a standard tool for systematic trading models.

Use to detect the start of new trends. A Vortex Indicator crossover (VI+ crossing above VI-) signals the beginning of an uptrend; the reverse signals a downtrend.

The Vortex Indicator, developed by Etienne Botes and Douglas Siepman (2010), is inspired by the vortex flow of water discovered by Viktor Schauberger. VI+ measures upward movement relative to the prior bar low; VI- measures downward movement relative to the prior bar high. Normalized by ATR, they produce two oscillating lines whose crossovers signal trend changes. — Technical Analysis of Stocks and Commodities, 2010

QuantWave implements this indicator via the universal Next<T> trait, guaranteeing bit-identical results between Rust streaming, Python streaming, and Polars batch (.ta() / map_batches) surfaces.

Formula / Specification

Implementation (quantwave-core/src/indicators/vortex.rs):

\[ VI+ = \frac{\sum VM+}{\sum TR} \\ VI- = \frac{\sum VM-}{\sum TR} \]

Gold-standard parity vectors: quantwave-core/tests/gold_standard/vortex.json.

Parameters

Parameter Default Description
period 14 Period

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::VORTEX;
use quantwave_core::traits::Next;

let mut ind = VORTEX::new(14);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import VORTEX

ind = VORTEX(14)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_vortex_indicator(series: pl.Series) -> pl.Series:
    ind = qw.VORTEX(14)
    return pl.Series([ind.next(float(v)) for v in series.to_list()])

df = (
    pl.read_csv('ohlcv.csv')
    .lazy()
    .with_columns(
        pl.col("close").map_batches(apply_vortex_indicator, return_dtype=pl.Float64).alias("vortex_indicator")
    )
    .collect()
)

All surfaces are bit-identical via the single Next<T> implementation and proptests.

Edge Cases & Limitations

  • Warm-up: first 14 bars may return NaN or partial state per implementation.
  • Parameter sensitivity: smaller periods increase noise; larger periods increase lag.
  • Sudden gaps or bad ticks can distort rolling windows — consider pre-filtering.
  • Single-series indicators ignore volume unless otherwise documented.
  • Validated via proptests against gold-standard vectors where available.
  • No look-ahead bias; streaming and Polars batch paths are bit-identical.

Boundary Behavior

Condition Behavior
Warm-up Leading bars return NaN until warmup_bars is satisfied.
period > len When period exceeds series length, output is all NaN.
NaN inputs NaN in input propagates to output (NaN out).
Invalid params Non-positive period or missing required params raise ValueError.
Empty data Empty input returns an empty result series.

Sources & References

Primary Source: https://www.investopedia.com/terms/v/vortex-indicator-vi.asp

Implementation: quantwave-core/src/indicators/vortex.rs (VORTEX / VORTEX_METADATA). Parity: quantwave-core/tests/gold_standard/vortex.json

Provenance: Standards bulk upgrade 2026-06-25 IST — see docs/DOCUMENTATION_STANDARDS.md.