TTR (version 0.13-1)

VHF: Vertical Horizontal Filter

Description

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

Usage

VHF(price, n = 28)

Arguments

price

Object able to be coerced to a matrix, which contains either a Close price series, or a High-Low-Close price series.

n

Number of periods to use.

Value

• A vector containing the VHF values.

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.

References

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

See Also

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

Examples

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