VerticalHorizontalFilter — Vertical Horizontal Filter

The window’s net range divided by the total path travelled: high means one directional move, low means the same ground covered many times. Structurally the same question as EfficiencyRatio, asked with the range instead of the endpoints.

Signature

VerticalHorizontalFilter(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 28, bounds 2–400.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{VHF} = \frac{\max(C, n) - \min(C, n)}{\sum_i |C_i - C_{i-1}|} $$

Warmup

period + 1 bars; 0 until then.

Reading the value

vhf.value
vhf > 0.35

Example

class VhfGate(Strategy):
    """Trend rules only above a VHF threshold."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        vhf = VerticalHorizontalFilter(28, on=self.trade)
        sma = SMA(50, on=self.trade)
        if vhf.value > 0.35 and self.trade.close > sma.value and self.trade.is_flat:
            self.buy(self.trade, reason=f"VHF {vhf.value:.2f}")
        if vhf.value < 0.25 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Gone horizontal")

Notes

• Adam White, Futures (1991).
• Proven by an assert-via-trade run on SPY daily (matched a strategy-side range/path reference to 1e-4 on every bar; zero alarm trades).
• Bounded 0–1. Higher means more vertical (trending); the thresholds are instrument-specific.