Vertical Horizontal Filter (VHF)

Category: trend, volatility

The Vertical Horizontal Filter (VHF) identifies whether a market is in a trending phase or a congestion (ranging) phase by comparing the range between highest and lowest prices to the sum of absolute price changes.

Formula

VHF = \frac{|Max(Close, n) - Min(Close, n)|}{\sum_{i=0}^{n-1} |Close_i - Close_{i+1}|}

Inputs

• VHF_Period (default: 28)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.