Summary
VerticalHorizontalFilter is RTTA's streaming Vertical Horizontal Filter (VHF):
the net close range over a window divided by the sum of absolute close-to-close
moves in that window. High VHF indicates trending price; low VHF indicates
choppy sideways action.
Update API
value = rtta.VerticalHorizontalFilter(window=28, fillna=True).update(close)
With fillna=False, output is NaN until the window is full. With fewer than
two samples and fillna=True, the value is 0.0.
Theory Of Operation
Adam White's VHF compares the straight-line distance price has traveled (highest close minus lowest close) to the total path length of successive closes. In a clean trend the path is mostly one-directional, so the ratio is large; in a range the path zigzags and the ratio shrinks. VHF is often used as a regime filter: prefer trend-following tools when VHF is high, oscillators when low.
Recurrence
Let \(c_t\) be close and \(n\) be window (default \(28\), minimum \(2\)).
Maintain a FIFO buffer of the last \(\min(t+1, n)\) closes. Let \(m\) be the
buffer size. If \(m < 2\), return \(0\) (fillna) or NaN.
Index the buffer as \(c^{(0)},\ldots,c^{(m-1)}\) oldest to newest:
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in
class VerticalHorizontalFilter. High, low, and path are recomputed by a full
pass over the buffer each update.