vhf

vhf(close, length=None, drift=None, offset=None, **kwargs)

Vertical Horizontal Filter (VHF)

VHF was created by Adam White to identify trending and ranging markets.

Sources:

https://www.incrediblecharts.com/indicators/vertical_horizontal_filter.php

Calculation:

Default Inputs:

length = 28

HCP = Highest Close Price in Period LCP = Lowest Close Price in Period Change = abs(Ct - Ct-1) VHF = (HCP - LCP) / RollingSum[length] of Change

Args:

source (pd.Series): Series of prices (usually close). length (int): The period length. Default: 28 offset (int): How many periods to offset the result. Default: 0

Kwargs:

fillna (value, optional): pd.DataFrame.fillna(value) fill_method (value, optional): Type of fill method

Returns:

pd.Series: New feature generated.