Module backtrader.indicators.contrib.vortex

#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import backtrader as bt

__all__ = ['Vortex']


class Vortex(bt.Indicator):
    '''
    See:
      - http://www.vortexindicator.com/VFX_VORTEX.PDF

    '''
    lines = ('vi_plus', 'vi_minus',)

    params = (('period', 14),)

    plotlines = dict(vi_plus=dict(_name='+VI'), vi_minus=dict(_name='-VI'))

    def __init__(self):
        h0l1 = abs(self.data.high(0) - self.data.low(-1))
        vm_plus = bt.ind.SumN(h0l1, period=self.p.period)

        l0h1 = abs(self.data.low(0) - self.data.high(-1))
        vm_minus = bt.ind.SumN(l0h1, period=self.p.period)

        h0c1 = abs(self.data.high(0) - self.data.close(-1))
        l0c1 = abs(self.data.low(0) - self.data.close(-1))
        h0l0 = abs(self.data.high(0) - self.data.low(0))

        tr = bt.ind.SumN(bt.Max(h0l0, h0c1, l0c1), period=self.p.period)

        self.l.vi_plus = vm_plus / tr
        self.l.vi_minus = vm_minus / tr