Vertical Horizontal Filter
The Vertical Horizontal Filter (VHF) attempts to identify starting and ending trends. Developed by Adam White.
VHF(price, n = 28)
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. |
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.
A object of the same class as price or a vector (if
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).
Joshua Ulrich
The following site(s) were used to code/document this
indicator:
https://www.metastock.com/Customer/Resources/TAAZ/#119
data(ttrc)
vhf.close <- VHF(ttrc[,"Close"])
vhf.hilow <- VHF(ttrc[,c("High","Low","Close")])Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.