VHF-Adaptive Variable Moving Average for Market Conditions

Summary

This note describes a Variable Moving Average whose adaptation is driven by Adam White’s Vertical Horizontal Filter (VHF). The stated rationale is that VHF can help detect market volatility, allowing the moving average’s smoothing to adjust to changing conditions. The document frames the quality of an adaptive average as dependent on the method used to adapt it, and characterizes this implementation’s results as acceptable without presenting supporting measurements.

Two possible signal approaches are mentioned: interpret a color change in the indicator, or compare two instances and use their crosses. The note recommends experimenting with parameters before using either approach in trading decisions. It gives no parameter values, backtest, comparison against a fixed-period average, or details on how the color is assigned. Accordingly, the proposed signals should be treated as indicator usage ideas rather than demonstrated strategies; their behavior and reliability remain unquantified.

Key ideas

• The indicator adapts a Variable Moving Average using Adam White’s Vertical Horizontal Filter.
• VHF is used as a measure for detecting changing market volatility.
• A change in indicator color or a crossover between two instances may serve as a signal.
• The document supplies no performance data or parameter settings and recommends experimenting before use.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.