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Vertical Horizontal Filter (VHF) was created by Adam White to identify trending and ranging markets. VHF measures the level of trend activity, similar to ADX in the Directional Movement System. Trend indicators can then be employed in trending markets and momentum indicators in ranging markets.
Vary the number of periods in the Vertical Horizontal Filter to suit different time frames. White originally recommended 28 days but now prefers an 18-day window smoothed with a 6-day moving average.
The formula this uses is ,
n=28;
x=(HHV(CLOSE,N)-LLV(CLOSE,N))/SUM(Absolute(CLOSE-REF(CLOSE,1)),N);
