Vortex Indicator (VTX)

using System;
using cAlgo.API;

namespace cAlgo
{
    [Levels(1)]
    [Indicator(IsOverlay = false, AccessRights = AccessRights.None)]
    public class VortexIndicator : Indicator
    {
        // Positive and negative trend movement:
        // +VM = Current High less Prior Low (absolute value)
        // -VM = Current Low less Prior High (absolute value)

        // +VM14 = 14-period Sum of +VM
        // -VM14 = 14-period Sum of -VM

        // True Range (TR) is the greatest of:
        //   * Current High less current Low
        //   * Current High less previous Close (absolute value)
        //   * Current Low less previous Close (absolute value)

        // TR14 = 14-period Sum of TR

        // Normalize the positive and negative trend movements:
        // +VI14 = +VM14/TR14
        // -VI14 = -VM14/TR14

        [Parameter("Periods", DefaultValue = 14)]
        public int Periods { get; set; }

        [Output("+VI", LineColor = "DodgerBlue")]
        public IndicatorDataSeries PlusVI { get; set; }

        [Output("-VI", LineColor = "Red")]
        public IndicatorDataSeries MinusVI { get; set; }

        private IndicatorDataSeries PlusVM, MinusVM, TR;

        protected override void Initialize()
        {
            PlusVM = CreateDataSeries();
            MinusVM = CreateDataSeries();
            TR = CreateDataSeries();
        }

        public override void Calculate(int index)
        {
            PlusVM[index] = Math.Abs(Bars.HighPrices[index] - Bars.LowPrices[index - 1]);
            MinusVM[index] = Math.Abs(Bars.LowPrices[index] - Bars.HighPrices[index - 1]);

            TR[index] = Math.Max(Bars.HighPrices[index] - Bars.LowPrices[index], Math.Max(Math.Abs(Bars.HighPrices[index] - Bars.ClosePrices[index - 1]), Math.Abs(Bars.LowPrices[index] - Bars.ClosePrices[index - 1])));

            double SumPlusVM = PlusVM.Sum(Periods);
            double SumMinusVM = MinusVM.Sum(Periods);

            double SumTR = TR.Sum(Periods);

            PlusVI[index] = SumPlusVM / SumTR;
            MinusVI[index] = SumMinusVM / SumTR;
        }
    }
}