mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
59 lines
2.0 KiB
Plaintext
59 lines
2.0 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("Inverse Fast Fourier Transform (IFFT)", "IFFT", overlay=true, precision=6)
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//@function Spectral filter via forward DFT + frequency zeroing + inverse DFT
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//@param source Series to filter
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//@param windowSize DFT window size (power of 2: 32, 64, 128)
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//@param numHarmonics Number of lowest-frequency harmonics to keep (1..windowSize/2)
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//@returns reconstructed (filtered) value at the current bar
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//@optimized Forward O(N*H) + inverse O(H); H = numHarmonics
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ifft(series float source, simple int windowSize, simple int numHarmonics) =>
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if windowSize != 32 and windowSize != 64 and windowSize != 128
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runtime.error("Window size must be 32, 64, or 128")
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if numHarmonics < 1
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runtime.error("Number of harmonics must be >= 1")
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int N = windowSize
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int halfN = N / 2
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int H = math.min(numHarmonics, halfN)
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float twoPiOverN = 2.0 * math.pi / N
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float dcRe = 0.0
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for n = 0 to N - 1
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float val = nz(source[n])
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float w = 0.5 - 0.5 * math.cos(twoPiOverN * n)
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dcRe += val * w
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float result = dcRe / N
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for k = 1 to H
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float re = 0.0
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float im = 0.0
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float omega_k = twoPiOverN * k
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for n = 0 to N - 1
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float val = nz(source[n])
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float w = 0.5 - 0.5 * math.cos(twoPiOverN * n)
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float xw = val * w
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float angle = omega_k * n
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re += xw * math.cos(angle)
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im -= xw * math.sin(angle)
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result += 2.0 * re / N
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result
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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_window = input.int(64, "Window Size", options=[32, 64, 128], tooltip="DFT window; larger = finer frequency resolution")
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i_harmonics = input.int(5, "Harmonics", minval=1, maxval=32, tooltip="Number of lowest-frequency components to keep; fewer = smoother")
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// Calculation
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float filtered = ifft(i_source, i_window, i_harmonics)
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// Plot
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plot(filtered, "IFFT", color=color.yellow, linewidth=2)
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