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Technical Studies Reference

Vertical Horizontal Filter

The Vertical Horizontal Filter determines whether prices are in a trending phase or a congestion phase. Reference: August 1991 issue of Futures magazine, Adam White.

Let \(X\) be a random variable denoting the Input Data Input, and let \(X_t\) be the value of the Input Data at Index \(t\). Let the Length Input be denoted as \(n\).

The Vertical Horizontal Filter is denoted as \(VHF_t(X,n)\), and we compute it for \(t \geq n\) as follows.

\(\displaystyle{VHF_t(X,n) = \frac{\max_t(X,n) - \min_t(X,n)}{\mathrm{sum}_t(X,n)}}\)

In the above formula, the functions \(\max\), \(\min\), and \(\mathrm{sum}\) are the Moving Maximum, Moving Minimum, and Moving Summation, respectively.



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*Last modified Monday, 18th May, 2020.