VHF 指标

Vertical Horizontal Filter（VHF指标计算公式）:

To calculate the Vertical Horizontal Filter:

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.

Select the number of periods (n) to include in the indicator. This should be based on the length of the cycle that you are analyzing. The most popular is 28 days (for intermediate cycles).
Determine the highest closing price (HCP) in n periods.
Determine the lowest closing price (LCP) in n periods.
Calculate the range of closing prices in n periods:
HCP - LCP
Next, calculate the movement in closing price for each period:
Closing price [today] - Closing price [yesterday]
Add up all price movements for n periods, disregarding whether they are up or down:
Sum of absolute values of ( Close [today] - Close [yesterday] ) for n periods
Divide Step 4 by Step 6:

VHF = (HCP - LCP) / (Sum of absolute values for n periods)

VHF(Vertical Horizontal Filter)十字過濾線
算法：
先計算N日來最高收盤價與最低收盤價的差，統計N日內今收與昨收的差的累加和，二者的比值即為VHF。
參數： N 　統計天數　一般為28　
計算公式
(HHV(CLOSE,N)-LLV(CLOSE,N))/SUM(ABS(CLOSE-REF(CLOSE,1)),N)