Vertical Horizontal Filter

Share:

Description

The Vertical Horizontal Filter (VHF) attempts to identify starting and ending trends. Developed by Adam White.

Usage

1
  VHF(price, n = 28)

Arguments

price

Object that is coercible to xts or matrix and contains a Close price series, or a High-Low-Close price series.

n

Number of periods to use.

Details

The VHF is calculated by subtracting the n-period lowest low from the n-period highest high and dividing that result by the n-period rolling sum of the close price changes.

Value

A object of the same class as price or a vector (if try.xts fails) containing the VHF values.

Note

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).

Author(s)

Joshua Ulrich

References

The following site(s) were used to code/document this indicator:
http://www.equis.com/Customer/Resources/TAAZ?c=3&p=119

See Also

See aroon, CCI, ADX, TDI, GMMA for other indicators that measure trend direction/strength.

Examples

1
2
3
data(ttrc)
vhf.close <- VHF(ttrc[,"Close"])
vhf.hilow <- VHF(ttrc[,c("High","Low","Close")])

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.