垂直水平過濾指標

2015-02-25 17:20:33

垂直水平過濾指標（VHF）是由Adam White發明，可以用來鑒別市場是處於趨勢時期還是橫盤整理期。VHF類似於定向移動交易系統中的ADX，它可以衡量市場的波動水平。趨勢行情應該採用趨勢指標，橫向整理行情應該採用超買超賣指標。根據不同的時間框架調整VHF的交易週期。經過6日MA平滑過後的價格走勢，White起初推薦28日VHF，但現在他更傾向於使用18日VHF。

交易信號
VHF指標本身不會產生交易信號，但是它可以判定是採用趨勢指標還是震盪指標的交易信號。
• VHF值上升表明處於單邊趨勢。
• VHF值下降說明市場處於橫向整理期。
• VHF值過大說明趨勢即將終結。
• VHF值過小表明市場即將開始一輪新趨勢。

示例
一個長期走勢的示例：英特爾股價以及 63日EMA， 63 日VHF。

1 VHF值上升，表明新一輪上升趨勢的開始；
2 VHF 值下降，說明上升趨勢接近尾聲；
3 VHF上升，表明新一輪的快速下降趨勢；
4 VHF值下降說明下降趨勢的終結。事實證明，該信號過早，因為價格在接下來的三個月內仍然處於緩慢的下降趨勢。

計算公式
計算VHF：
1、根據交易時間段選擇指標週期n。中線交易者一般採用的是28日VHF。
2、確定n日的最高收盤價（HCP）。
3、確定n日的最低收盤價（LCP）。
4、計算出n內收盤價的波動範圍：
           HCP – LCP
5、接下來，計算出n日內收盤價的波動情況：
           今日收盤價 – 昨日收盤價
6、將n日內的價格波幅相加，不論其上升還是下降。
           n日內（今日收盤價 – 昨日收盤價）的絕對值之和。
7、步驟1除以步驟6：
           VHF = (HCP - LCP) / n日內收盤價的波動幅度之和

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)

文章翻譯由兄弟財經提供

本文來源：http://www.incrediblecharts.com/indicators/vertical_horizontal_filter.php