The Vertical Horizontal Filter (VHF) attempts to identify starting and ending trends. Developed by Adam White.
VHF(price, n = 28)
Object that is coercible to xts or matrix and contains a Close price series, or a High-Low-Close price series.
Number of periods to use.
The VHF is calculated by subtracting the
lowest low from the
n-period highest high and
dividing that result by the
n-period rolling sum
of the close price changes.
A object of the same class as
price or a vector
try.xts fails) containing the VHF values.
If Close prices are given, the function calculates the max/min using only those prices (the default). If HLC prices are given, the function calculates the max/min using the high/low prices (added for flexibility).
The following site(s) were used to code/document this
for other indicators that measure trend
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