Vertical Horizontal Filter
The Vertical Horizontal Filter (VHF) determines whether prices are in a trending phase or a congestion phase. The VHF compares the sum of a one period rate-of-change to the range between high and low prices over the specified period.
The age-old problem for many trading systems is their inability to determine if a trending or trading range market is at hand. Trend-following indicators such as MACD and moving averages, tend to be whipsawed as markets enter a non-trending congestion phase. On the other hand, oscillators (which work well during trading range markets) tend to overreact to price pull-backs during trending markets. The VHF indicator attempts to remedy this by measuring the "trendiness" of a market.
Vertical Horizontal Filter(Parameters)
- Range. Any range of data, e.g. array of Close, Low prices, Volume, etc.
- Output range. The cell reference for the range of output data.
- Period. Number of values used for calculation.
Vertical Horizontal Filter(Syntax)
VerticalHorizontalFilter(RANGE;PERIOD;DIRECTION)
Example
=VerticalHorizontalFilter(A1:A129;28;1)
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