Vertical Horizontal Filter Pro (Indicator)

1. Summary

VHF Pro is a trend-intensity indicator originally developed by Adam White (1991). It answers a single, critical question: "Is the market Trending or Ranging?"

Unlike moving average-based filters, VHF measures the "efficiency" of price movement by comparing the distance the price has traveled (Range) against the effort it took to get there (Path Length).

2. Methodology & Calculation Modes

The indicator determines the trend intensity (0.0 to 1.0) using the formula:

VHF = \frac{\text{Numerator (Range)}}{\text{Denominator (Path Length)}}

We have upgraded the classic algorithm with two selectable modes:

Mode A: Classic (Close-Only)

Numerator: Highest(Close, N) - Lowest(Close, N)
Logic: Focuses purely on the closing consensus. Ignores intraday volatility and spikes.
Best for: Smoother filtering on noisy timeframes.

Mode B: Professional (High-Low)

Numerator: Highest(High, N) - Lowest(Low, N)
Logic: Accounts for the entire trading range, including wicks and failed breakouts.
Best for: Accurate detection of trading ranges and volatility breakouts. This mode is more sensitive to market extremes.

Denominator (Noise): The sum of absolute price changes from bar to bar (the total "distance walked"). This remains consistent across both modes.

3. Interpretation

VHF < 0.30 (Gray Zone): Congestion Phase. The market is range-bound. Trend strategies (MA Cross) will fail. Use Oscillator/Mean Reversion strategies.
VHF > 0.30 (Blue Zone): Emerging Trend. A directional move is gaining structure.
VHF > 0.40 (Gold Zone): Established Trend. The movement is highly efficient. This is the "Sweet Spot" for trend-following entries.
Rising VHF: The trend is strengthening.
Falling VHF: The trend is weakening or the market is entering a consolidation phase.

4. Parameters

InpPeriod: The lookback window (Default: 28).
InpMode: Calculation method (VHF_MODE_CLOSE_ONLY vs VHF_MODE_HIGH_LOW).
InpPrice: The price source for the Close-based components (Default: PRICE_CLOSE).

5. Strategic Usage

Filter Logic: Before entering a trade, check the VHF. If it is Gray (<0.3), do not trade breakouts. Wait for the VHF to turn Blue/Gold.
Exit Logic: If you are in a trend trade and VHF peaks and starts falling sharply, consider tightening stops, as the trend is likely transitioning into a range.

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