R: Vertical Horizontal Filter

VHF {TTR} | R Documentation

## 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 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

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

[Package TTR version 0.23-1 Index]