mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
49 lines
1.7 KiB
Plaintext
49 lines
1.7 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Continuous Wavelet Transform (CWT)", "CWT", overlay=false, precision=6)
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//@function Computes CWT magnitude using Morlet wavelet at a given scale
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//@param source Series to analyze
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//@param scale Wavelet scale parameter (controls frequency resolution)
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//@param omega Central frequency of Morlet wavelet (default 6.0)
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//@returns CWT magnitude (power) at the specified scale
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cwt(series float source, simple float scale, simple float omega) =>
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if scale <= 0.0
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runtime.error("Scale must be greater than 0")
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if omega <= 0.0
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runtime.error("Omega must be greater than 0")
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int halfWin = math.max(1, int(math.round(3.0 * scale)))
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float invScale = 1.0 / scale
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float normFactor = 1.0 / math.sqrt(scale)
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float realSum = 0.0
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float imagSum = 0.0
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for k = -halfWin to halfWin
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float srcVal = nz(source[halfWin - k])
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float t = float(k) * invScale
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float gauss = math.exp(-0.5 * t * t)
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float angle = omega * t
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realSum += srcVal * gauss * math.cos(angle)
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imagSum += srcVal * gauss * math.sin(angle)
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float magnitude = math.sqrt(realSum * realSum + imagSum * imagSum) * normFactor
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magnitude
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, "Source")
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i_scale = input.float(10.0, "Scale", minval=0.5, maxval=200.0, step=0.5,
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tooltip="Wavelet scale — higher values capture lower frequencies")
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i_omega = input.float(6.0, "Omega (Central Frequency)", minval=1.0, maxval=20.0, step=0.5,
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tooltip="Morlet central frequency — standard value is 6.0")
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// Calculation
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cwt_value = cwt(i_source, i_scale, i_omega)
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// Plot
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plot(cwt_value, "CWT", color.new(color.yellow, 0), 2)
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