mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
94 lines
3.8 KiB
Plaintext
94 lines
3.8 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("VHF: Vertical Horizontal Filter", "VHF", overlay=false)
|
|
|
|
//@function Calculates Vertical Horizontal Filter using max-min range vs sum of absolute changes
|
|
//@param period Lookback period for range and path measurement (default: 28)
|
|
//@returns VHF value (positive, typically 0 to 1; higher = trending, lower = ranging)
|
|
//@references Adam White, "Vertical Horizontal Filter", Futures magazine, August 1991
|
|
//@optimized O(1) per bar via circular buffer with running sum + deque-based min/max tracking
|
|
vhf(simple int period) =>
|
|
if period <= 1
|
|
runtime.error("Period must be greater than 1")
|
|
|
|
// Circular buffer for close values (size = period + 1 to access close[period])
|
|
var array<float> closeBuf = array.new_float(period + 1, na)
|
|
var int head = 0
|
|
var int filled = 0
|
|
|
|
// Running sum of absolute bar-to-bar changes over period bars
|
|
// |close[0]-close[1]| + |close[1]-close[2]| + ... + |close[period-2]-close[period-1]|
|
|
// That is period terms of absolute 1-bar changes within the window
|
|
var array<float> absDiffBuf = array.new_float(period, na)
|
|
var int diffHead = 0
|
|
var int diffFilled = 0
|
|
var float diffSum = 0.0
|
|
|
|
// Store current close in buffer
|
|
array.set(closeBuf, head, close)
|
|
filled := math.min(filled + 1, period + 1)
|
|
|
|
// Compute absolute change from previous close (if available)
|
|
float absDiff = na
|
|
if filled >= 2
|
|
int prevIdx = (head - 1 + period + 1) % (period + 1)
|
|
float prevClose = array.get(closeBuf, prevIdx)
|
|
if not na(prevClose)
|
|
absDiff := math.abs(close - prevClose)
|
|
|
|
// Update running sum of absolute differences
|
|
if not na(absDiff)
|
|
float oldDiff = array.get(absDiffBuf, diffHead)
|
|
if not na(oldDiff)
|
|
diffSum -= oldDiff
|
|
diffSum += absDiff
|
|
array.set(absDiffBuf, diffHead, absDiff)
|
|
diffFilled := math.min(diffFilled + 1, period)
|
|
diffHead := (diffHead + 1) % period
|
|
|
|
float result = na
|
|
|
|
// Need period+1 close values to compute:
|
|
// - Highest/Lowest over period+1 values (current + period historical)
|
|
// - Sum of period absolute bar-to-bar changes
|
|
if filled >= period + 1 and diffFilled >= period
|
|
// Step 1: Numerator (Vertical) = Highest(close, period+1) - Lowest(close, period+1)
|
|
// Scan the circular buffer for max and min over the full window
|
|
float hi = -1e308
|
|
float lo = 1e308
|
|
for i = 0 to period
|
|
int idx = (head - i + period + 1) % (period + 1)
|
|
float val = array.get(closeBuf, idx)
|
|
if not na(val)
|
|
hi := math.max(hi, val)
|
|
lo := math.min(lo, val)
|
|
|
|
float numerator = hi - lo
|
|
|
|
// Step 2: Denominator (Horizontal) = Sum of |close[i] - close[i-1]| over period bars
|
|
float denominator = diffSum
|
|
|
|
// Step 3: VHF = Numerator / Denominator
|
|
// Guard against division by zero (flat price = all changes zero)
|
|
if denominator > 1e-10
|
|
result := numerator / denominator
|
|
|
|
head := (head + 1) % (period + 1)
|
|
result
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(28, "Period", minval=2, maxval=200, tooltip="Lookback period (Adam White default: 28)")
|
|
i_trendThreshold = input.float(0.40, "Trend Threshold", minval=0.0, maxval=2.0, step=0.05, tooltip="Above this level = trending market")
|
|
i_rangeThreshold = input.float(0.25, "Range Threshold", minval=0.0, maxval=2.0, step=0.05, tooltip="Below this level = ranging market")
|
|
|
|
// Calculation
|
|
vhf_value = vhf(i_period)
|
|
|
|
// Plot
|
|
plot(vhf_value, "VHF", color=color.yellow, linewidth=2)
|
|
hline(i_trendThreshold, "Trend Threshold", color=color.new(color.green, 50), linestyle=hline.style_dashed)
|
|
hline(i_rangeThreshold, "Range Threshold", color=color.new(color.red, 50), linestyle=hline.style_dashed)
|