Log in to see Cloud of Tags

Wealth-Lab Wiki

Hilbert Transform | HTInPhase

RSS

Syntax

public HTInPhase(DataSeries ds, string description) public static HTInPhaseSeries(DataSeries ds)

Parameter Description

ds The source DataSeries, usually AverageSeries

Description

The Hilbert Transform is a technique used to generate inphase and quadrature components of a de-trended real-valued "analytic-like" signal (such as a Price Series) in order to analyze variations of the instantaneous phase and amplitude. HTInPhase returns the Hilbert Transform generated InPhase component of the input Price Series.

Interpretation

The InPhase component is used in conjunction with the Quadrature component to generate the phase of the analytic signal (using the ArcTan function) at a specific bar or for the entire Price Series.

Calculation

More detailed information concerning the calculation of the Hilbert Transform related functions can be found on the Mesa Software site.

The basic flow for the computation for the InPhase component is:

Compute the Hilbert Transform
{Detrend Price}
{Compute InPhase and Quadrature components}

Return the InPhase component at the current bar of the Hilbert Transform computed at that bar 

Example

using System; using System.Collections.Generic; using System.Text; using System.Drawing; using WealthLab; using WealthLab.Indicators; using Community.Indicators;

namespace WealthLab.Strategies { public class MyStrategy : WealthScript { protected override void Execute() { // Color bars based on relative positions of Quadrature and In-Phase HTInPhase hti = HTInPhase.Series( AveragePrice.Series( Bars ) ); HTQuadrature htq = HTQuadrature.Series( AveragePrice.Series( Bars ) ); ChartPane HTQuadPane = CreatePane( 50, true, true ); PlotSeries( HTQuadPane, hti, Color.DarkBlue, LineStyle.Solid, 2 ); PlotSeries( HTQuadPane, htq, Color.LightBlue, LineStyle.Solid, 2 ); for(int bar = 0; bar < Bars.Count; bar++) { if( htibar > htqbar ) SetBarColor( bar, Color.DarkBlue ); else if( htibar < htqbar ) SetBarColor( bar, Color.LightBlue ); } } } }

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.


ScrewTurn Wiki. Some of the icons created by FamFamFam.