垂直水平过滤指标

2015-02-25 17:20:33

垂直水平过滤指标（VHF）是由Adam White发明，可以用来鉴别市场是处于趋势时期还是横盘整理期。VHF类似于定向移动交易系统中的ADX，它可以衡量市场的波动水平。趋势行情应该采用趋势指标，横向整理行情应该采用超买超卖指标。根据不同的时间框架调整VHF的交易周期。经过6日MA平滑过后的价格走势，White起初推荐28日VHF，但现在他更倾向于使用18日VHF。

交易信号
VHF指标本身不会产生交易信号，但是它可以判定是采用趋势指标还是震荡指标的交易信号。
• VHF值上升表明处于单边趋势。
• VHF值下降说明市场处于横向整理期。
• VHF值过大说明趋势即将终结。
• VHF值过小表明市场即将开始一轮新趋势。

示例
一个长期走势的示例：英特尔股价以及 63日EMA， 63 日VHF。

1 VHF值上升，表明新一轮上升趋势的开始；
2 VHF 值下降，说明上升趋势接近尾声；
3 VHF上升，表明新一轮的快速下降趋势；
4 VHF值下降说明下降趋势的终结。事实证明，该信号过早，因为价格在接下来的三个月内仍然处于缓慢的下降趋势。

计算公式
计算VHF：
1、根据交易时间段选择指标周期n。中线交易者一般采用的是28日VHF。
2、确定n日的最高收盘价（HCP）。
3、确定n日的最低收盘价（LCP）。
4、计算出n内收盘价的波动范围：
           HCP – LCP
5、接下来，计算出n日内收盘价的波动情况：
           今日收盘价 – 昨日收盘价
6、将n日内的价格波幅相加，不论其上升还是下降。
           n日内（今日收盘价 – 昨日收盘价）的绝对值之和。
7、步骤1除以步骤6：
           VHF = (HCP - LCP) / n日内收盘价的波动幅度之和

Vertical Horizontal Filter
Vertical Horizontal Filter (VHF) was created by Adam White to identify trending and ranging markets. VHF measures the level of trend activity, similar to ADX in the Directional Movement System. Trend indicatorscan then be employed in trending markets and momentum indicators in ranging markets.
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.
Trading Signals
Vertical Horizontal Filter does not, itself, generate trading signals, but determines whether signals are taken fromtrend or momentum indicators.
• Rising values indicate a trend.
• Falling values indicate a ranging market.
• High values precede the end of a trend.
• Low values precede a trend start.

EXAMPLE
A longer term example: Intel Corporation is shown with   63-day exponential moving average (MA), and   63 day Vertical Horizontal Filter.
1. Vertical Horizontal Filter rises, signaling the start of an up-trend;
2. VHF falls, indicating that the trend is near its' end;
3. VHF rises, signaling the start of a sharp down-trend;
4. Falling VHF signals the end of the down-trend. This is premature as price continues to trend downwards over the next 3 months, albeit at a slower rate.
Formula
To calculate the Vertical Horizontal Filter:
1. 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).
2. Determine the highest closing price (HCP) in n periods.
3. Determine the lowest closing price (LCP) in n periods.
4. Calculate the range of closing prices in n periods:
           HCP - LCP
5. Next, calculate the movement in closing price for each period:
           Closing price [today] - Closing price [yesterday]
6. 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
7. Divide Step 4 by Step 6:
           VHF = (HCP - LCP) / (Sum of absolute values for n periods)

文章翻译由兄弟财经提供

本文来源：http://www.incrediblecharts.com/indicators/vertical_horizontal_filter.php