Trend following might be making a come back. It looks like we have had some very good trends in the currencies and grains. The financial have been trendy as well but with several phases of congestion. In this issue of George’s Corner in Futures Truth Magazine I am writing an article and providing the code for a simple moving average system that incorporates the VHF to help weed out congestive phases. Here is the code of the filter that was created by Tuschar Chande.
value1 = (highest(c,13) - lowest(c,13));
value2 = 0;
for iCnt = 0 to 13
value2 = value2 + absValue(c[iCnt] - c[iCnt+1]);
VHFValue = value1/value2;