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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/filters/wavelet/Wavelet.md
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- The Wavelet Denoising Filter applies an *à trous* (with holes) Haar wavelet decomposition with soft thresholding to remove high-frequency noise fro...
- Parameterized by `levels` (default 4), `threshmult` (default 1.0).
- Output range: Tracks input.
- Requires `2^levels` bars of warmup before first valid output (IsHot = true).
- **Similar:** [SGF](../sgf/Sgf.md), [Modf](../modf/Modf.md) | **Complementary:** Multi-timeframe analysis | **Trading note:** Wavelet denoising; multi-resolution analysis separates signal at different time scales.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
## Introduction
@@ -180,4 +178,4 @@ Wavelet denoising has no direct equivalent in standard TA libraries. Validation
- Holschneider, M., Kronland-Martinet, R., Morlet, J. & Tchamitchian, P. (1989). "A Real-Time Algorithm for Signal Analysis with the Help of the Wavelet Transform." In *Wavelets: Time-Frequency Methods and Phase Space*, Springer.
- Mallat, S. (2009). *A Wavelet Tour of Signal Processing: The Sparse Way*. 3rd ed. Academic Press.
- Nason, G.P. (2008). *Wavelet Methods in Statistics with R*. Springer.
- Ehlers, J.F. (2001). *Rocket Science for Traders*. Wiley. (Context for financial signal processing filters.)
- Ehlers, J.F. (2001). *Rocket Science for Traders*. Wiley. (Context for financial signal processing filters.)