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v0.8.6: update indicator docs, ndepend tooling, ALMA refactor, gitignore cleanup

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Miha Kralj
2026-03-13 13:46:52 -07:00
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lib/dynamics/vhf/Vhf.md
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@@ -13,9 +13,7 @@
| **PineScript** | [vhf.pine](vhf.pine) |
- VHF (Vertical Horizontal Filter) measures trend strength by dividing the price range over $N$ periods by the total absolute bar-to-bar path distanc...
- Parameterized by `period` (default 28).
- Output range: Varies (see docs).
- Requires `period + 1` bars of warmup before first valid output (IsHot = true).
- **Similar:** [ADX](../adx/Adx.md), [Chop](../chop/Chop.md) | **Complementary:** Moving averages for direction | **Trading note:** Vertical Horizontal Filter; ratio of price range to cumulative movement. High = trending.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
VHF (Vertical Horizontal Filter) measures trend strength by dividing the price range over $N$ periods by the total absolute bar-to-bar path distance over the same window. Created by Adam White and published in the August 1991 issue of *Futures* magazine, VHF produces a single positive value where higher readings indicate trending conditions and lower readings indicate choppy, range-bound markets. With the default period of 28, the indicator requires 29 close values for the first valid output. The core computation in streaming mode is O(1) per bar when implemented with deque-based min/max tracking and a running sum of absolute changes. No square roots, no exponentials, no recursion. VHF is one of the simplest and cheapest trend-strength classifiers available, requiring approximately 12 operations per bar at steady state.
@@ -234,4 +232,4 @@ Key validation points:
- Dreiss, Bill. "Choppiness Index." Referenced in various technical analysis encyclopedias. No formal publication; oral tradition via market conferences circa 1993.
- Wilder, J. Welles. *New Concepts in Technical Trading Systems*. Trend Research, 1978. (ADX reference for comparison.)
- Pardo, Robert. *The Evaluation and Optimization of Trading Strategies*, 2nd Edition. Wiley, 2008. (Uses VHF as a regime filter in walk-forward optimization framework.)
- PineScript reference: `vhf.pine` in indicator directory.
- PineScript reference: `vhf.pine` in indicator directory.