Vertical Horizontal Filter Backtest — Strategy by HPotter
By HPotter
Performance Metrics
- Author: HPotter
- Symbol: CME_MINI:ES1!
- Timeframe: 1 day
- Net P&L: +82,362.50 USD (+82.27%)
- Win Rate: 53.2%
- Profit Factor: 1.292
- Max Drawdown: 28,575.00 USD (24.69%)
- Total Trades: 355
- Sharpe Ratio: 0.044
Description
Vertical Horizontal Filter was initiated by Adam White. It was first published in a magazine called “Issues of Futures” in August, 1991. The Vertical Horizontal Filter (VHF) is a very common Indicator used by traders to find out the Phase of a Price Trend. Normally, a price trend can be in a Trending Phase or a Congestion Phase/Choppy Movement Phase. Adam White created this particular Technical Indicator to determine whether prices are trending in a particular direction or are they going through a transitional period. He used it to measure the range of Futures available in the market. You can change long to short in the Input Settings WARNING: - For purpose educate only - This script to change bars colors.