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10.48 Vertical Horizontal Filter

The vertical horizontal filter (VHF) by Adam White expresses the range of closing prices as a fraction of total close-to-close movement over a given N-day period.

          highest close - lowest close
VHF = -------------------------------------
      total of each abs(close - prev close)

This ratio ranges from 0 to 1. The extreme of 1 means all close-to-close movement was in one direction, so they added up to the full range. A usual value is somewhere in the middle, reflecting a mixture of advances and retreats that occur even in a strong market.


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