mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
120 lines
4.1 KiB
Plaintext
120 lines
4.1 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("Ehlers Hilbert Transform SineWave (HT_SINE)", "HT_SINE", overlay=false)
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//@function Calculates Hilbert Transform SineWave and LeadSine using TA-Lib algorithm
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//@param source Series to analyze for dominant cycle
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//@returns Tuple [sine, leadsine] - sine wave and lead sine wave (+45° phase lead)
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ht_sine(series float source) =>
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var float detrender = 0.0
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var float i1 = 0.0
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var float q1 = 0.0
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var float ji = 0.0
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var float jq = 0.0
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var float i2 = 0.0
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var float q2 = 0.0
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var float re = 0.0
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var float im = 0.0
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var float period = 0.0
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var float smooth_period = 0.0
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var float dc_phase = 0.0
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float price = nz(source)
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// Step 1: WMA smoothing (4-tap: [4,3,2,1]/10)
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float smooth_price = (4.0 * price + 3.0 * nz(price[1]) + 2.0 * nz(price[2]) + nz(price[3])) / 10.0
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// Bandwidth uses period (not smooth_period) per TA-Lib
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float bandwidth = 0.075 * period + 0.54
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// Step 2: Hilbert FIR detrender
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detrender := (0.0962 * smooth_price + 0.5769 * nz(smooth_price[2]) - 0.5769 * nz(smooth_price[4]) - 0.0962 * nz(smooth_price[6])) * bandwidth
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// Step 3: Q1 computation (Hilbert FIR on detrender)
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q1 := (0.0962 * detrender + 0.5769 * nz(detrender[2]) - 0.5769 * nz(detrender[4]) - 0.0962 * nz(detrender[6])) * bandwidth
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// Step 4: I1 = detrender delayed 3 bars
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i1 := nz(detrender[3])
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// Step 5: Advance phase via JI/JQ
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ji := (0.0962 * i1 + 0.5769 * nz(i1[2]) - 0.5769 * nz(i1[4]) - 0.0962 * nz(i1[6])) * bandwidth
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jq := (0.0962 * q1 + 0.5769 * nz(q1[2]) - 0.5769 * nz(q1[4]) - 0.0962 * nz(q1[6])) * bandwidth
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// Step 6: Smooth I2/Q2 with 2-bar EMA
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i2 := 0.2 * (i1 - jq) + 0.8 * nz(i2[1])
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q2 := 0.2 * (q1 + ji) + 0.8 * nz(q2[1])
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// Step 7: Homodyne discriminator
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re := 0.2 * (i2 * nz(i2[1]) + q2 * nz(q2[1])) + 0.8 * nz(re[1])
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im := 0.2 * (i2 * nz(q2[1]) - q2 * nz(i2[1])) + 0.8 * nz(im[1])
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// Step 8: Period from atan (NOT atan2) + rate limiting + clamping
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float prev_period = period
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if math.abs(im) > 1e-12 and math.abs(re) > 1e-12
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float angle = math.atan(im / re)
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if math.abs(angle) > 1e-12
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period := 2.0 * math.pi / angle
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// Rate limit: ±50% bar-to-bar
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if prev_period > 0
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period := math.min(period, 1.5 * prev_period)
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period := math.max(period, 0.67 * prev_period)
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// Clamp to valid range
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period := math.max(6.0, math.min(50.0, period))
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// Step 9: Smooth period with 0.2/0.8 EMA
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period := 0.2 * period + 0.8 * prev_period
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// Step 10: Smooth smoothPeriod with 0.33/0.67 EMA
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smooth_period := 0.33 * period + 0.67 * smooth_period
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// Step 11: DFT-based DC Phase extraction (identical to HT_DCPHASE)
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int dc_period_int = int(smooth_period + 0.5)
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float real_part = 0.0
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float imag_part = 0.0
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for i = 0 to dc_period_int - 1
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float temp_angle = i * 2.0 * math.pi / dc_period_int
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float sp_val = nz(smooth_price[i])
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real_part += math.sin(temp_angle) * sp_val
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imag_part += math.cos(temp_angle) * sp_val
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// Phase from DFT components
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float abs_imag = math.abs(imag_part)
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if abs_imag > 0.0
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dc_phase := math.atan(real_part / imag_part) * (180.0 / math.pi)
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else if abs_imag <= 0.01
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if real_part < 0.0
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dc_phase -= 90.0
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else if real_part > 0.0
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dc_phase += 90.0
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// Phase adjustments per TA-Lib
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dc_phase += 90.0
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dc_phase += 360.0 / smooth_period
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if imag_part < 0.0
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dc_phase += 180.0
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if dc_phase > 315.0
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dc_phase -= 360.0
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// Step 12: Output sine and leadsine from DC Phase (in degrees -> radians for sin)
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float sine = math.sin(dc_phase * math.pi / 180.0)
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float leadsine = math.sin((dc_phase + 45.0) * math.pi / 180.0)
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[sine, leadsine]
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(hlc3, "Source")
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// Calculation
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[sine, leadsine] = ht_sine(i_source)
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// Plot
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plot(sine, "Sine", color=color.yellow, linewidth=2)
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plot(leadsine, "LeadSine", color=color.blue, linewidth=2)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_solid)
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