Hilbert Sine Wave Indicator - Wealth Lab Forum

Hilbert Sine Wave Indicator

Author: DartboardTrader

Creation Date: 4/22/2009 11:56 AM

Wealth Lab » Technical Indicators » Hilbert Sine Wave Indicator

DartboardTrader

4/22/2009 11:56 AM

Here is an implementation of the Hilbert Sine Wave indicator. Can someone please verify the output is reasonably similar to the Hilbert Sine Wave they have observed on other platforms? This is a translation, the implementation/output is not verified.

Maybe someone can code up a reasonable strategy against it? :) Or include it in the Community.Indicators, once someone confirms the output is the expected result.

The internals may also be useful indicators for anyone anticipating the 'turn' in the wave.

I included in the 'strategy' portion support/resistance levels based on the Hilbert output.

Regards,
--Mike

CODE:
Please log in to see this code.

Size:

Color:

Maybe someone can code up a reasonable strategy against it? :) Or include it in the Community.Indicators, once someone confirms the output is the expected result.

The internals may also be useful indicators for anyone anticipating the 'turn' in the wave.

I included in the 'strategy' portion support/resistance levels based on the Hilbert output.

Regards,
--Mike

[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

// Translated from public domain TradeStation code.

namespace WealthLab.Strategies
{
	public class HilbertWaveOscTest : WealthScript
	{
		public StrategyParameter shift;
		public StrategyParameter drawings;
		public StrategyParameter plotInternals;
		
		public HilbertWaveOscTest()
		{
			shift = CreateParameter("Hilbert offset",0,0,5,1);
			drawings = CreateParameter("Drawings Y/N",0,0,1,1);
			plotInternals = CreateParameter("Internals Y/N",0,0,1,1);
		}

protected override void Execute()
		{
			// Hilbert Wave Calculation starts here
			
			DataSeries Price = Close*0;
			Price.Description = "Price";
			DataSeries Phase = Close*0;
			Phase.Description = "Phase";
			DataSeries InPhase = Close*0;
			InPhase.Description = "InPhase";
			DataSeries Quadrature = Close*0;
			Quadrature.Description = "Quadrature";
			DataSeries DeltaPhase = Close*0;
			DeltaPhase.Description = "DeltaPhase";
			DataSeries InstPeriod = Close*0;
			InstPeriod.Description = "InstPeriod";
			DataSeries Value1 = Close*0;
			Value1.Description = "Value1";
			DataSeries Value2 = Close*0;
			Value2.Description = "Value2";
			DataSeries Value3 = Close*0;
			Value3.Description = "Value3";
			DataSeries Value4 = Close*0;
			Value4.Description = "Value4";
			DataSeries Value5 = Close*0;
			Value5.Description = "Value5";
			DataSeries plot_DCPhase = Close*0;
			plot_DCPhase.Description = "plot_DCPhase";
			DataSeries plot_DCPhase_offset = Close*0;
			plot_DCPhase_offset.Description = "plot_DCPhase_offset";

//Price = (High+Low)/2;
			//Value1 = Price-(Price>>6);
			//Value2 = Value1>>3;
			//InPhase = 0.33*Value2 + 0.67*(InPhase>>1);
			for(int bar = 41; bar < Bars.Count; bar++)
			{
				Price[bar] = ((High[bar] + Low[bar] )/2);
			
				// {Compute InPhase and Quadrature components}
				Value1[bar] = ( Price[bar] - Price[bar-6] ) ;
				Value2[bar] = Value1[bar-3];
				Value3[bar] =0.75*(Value1[bar] - Value1[bar-6]) + 0.25*(Value1[bar-2] - Value1[bar-4]);
			
				InPhase[bar] = 0.33*Value2[bar] + 0.67*InPhase[bar-1];
				Quadrature[bar] = 0.2*Value3[bar] + 0.8*Quadrature[bar-1];
			
				//{Use ArcTangent to compute the current phase}
				if (Math.Abs(InPhase[bar] + InPhase[bar-1]) > 0)
				{
					Phase[bar] = 180/Math.PI * Math.Atan( Math.Abs((Quadrature[bar]+Quadrature[bar-1]) / (InPhase[bar]+InPhase[bar-1])));
				}
			
				// {Resolve the ArcTangent ambiguity}
				if (InPhase[bar] < 0 && Quadrature[bar] > 0 ) 
				{
					Phase[bar] = 180 - Phase[bar];
				}
			
				if ( InPhase[bar] < 0 && Quadrature[bar] < 0 )  
				{
					Phase[bar] = 180 + Phase[bar];
				}
			
				if (InPhase[bar] > 0 && Quadrature[bar] < 0  )
				{
					Phase[bar] = 360 - Phase[bar];
				}
			
				//{Compute a differential phase, resolve phase wraparound, and limit delta phase errors}
				DeltaPhase[bar] = Phase[bar-1] - Phase[bar];
				if (Phase[bar-1] < 90 && Phase[bar] > 270 )
				{ 
					DeltaPhase[bar] = 360 + Phase[bar-1] - Phase[bar];
				}
			
				if (DeltaPhase[bar] < 1 ) 
				{
					DeltaPhase[bar] = 1;
				}
			
				if (DeltaPhase[bar] > 60 ) 
				{
					DeltaPhase[bar] = 60;
				}
			
				// {Sum DeltaPhases to reach 360 degrees. The sum is the instantaneous period.}
				//InstPeriod[bar] = 0;
				
				//Value4[bar] = 0;
		
				for (int count = 0 ; count <= 40; count++ )
				{
					Value4[bar] = Value4[bar] + DeltaPhase[bar-count];
			
					if (Value4[bar] > 360 && InstPeriod[bar] == 0)
					{	
						InstPeriod[bar] = count;
					}
				}
				
				// {Resolve Instantaneous Period errors and smooth}
				if (InstPeriod[bar] == 0 )
				{
					InstPeriod[bar] = InstPeriod[bar-1];
				}
				
				Value5[bar] = 0.25*InstPeriod[bar] + 0.75*Value5[bar-1];
			
				//{Compute Dominant Cycle Phase, Sine of the Phase Angle, and Leadsine}
				double Period = Math.Floor(Value5[bar]);
			
				double RealPart = 0;
				double ImagPart = 0;
			
				// Range checking
				//Period = Math.Max(Period,0);
				//Period = Math.Min(Price.Count,Period);
				
				for (int count = 0; count <= (Period - 1); count++)
				{
					RealPart = RealPart + Math.Sin( Math.PI/180 * 360  * count / Period) * (Price[bar-count]);
					ImagPart = ImagPart + Math.Cos( Math.PI/180 * 360  * count / Period) * (Price[bar-count]);
				}
			
				double DCPhase = 0;
				
				if ( Math.Abs(ImagPart) > 0.01 ) 
				{
					DCPhase = 180/Math.PI * Math.Atan((RealPart / ImagPart));
				}
			
				if ( Math.Abs(ImagPart) <= 0.01 ) 
				{
					DCPhase = 90 * Math.Sign(RealPart);
				}
			
				DCPhase = DCPhase + 90;
			
				if ( ImagPart < 0 ) 
				{
					DCPhase = DCPhase + 180;
				}
			
				if (DCPhase > 315 )
				{
					DCPhase = DCPhase - 360;
				}
			
				plot_DCPhase[bar] = (Math.Sin(Math.PI/180*( DCPhase)));
				plot_DCPhase_offset[bar] = (Math.Sin( Math.PI/180*(DCPhase + 45)) );
			}
			
			// Strategy code starts here.
			
			if (shift.ValueInt != 0)
				plot_DCPhase_offset = plot_DCPhase_offset >> shift.ValueInt;
			
			ChartPane p1 = CreatePane(100,true,true);
			PlotSeries (p1,plot_DCPhase,Color.Black,LineStyle.Solid,1);
			PlotSeries (p1,plot_DCPhase_offset,Color.Red,LineStyle.Solid,1);
			
			if (drawings.ValueInt == 1)
			{
				int startTop = 0;
				int startBottom = 0;
				for(int bar =40*2; bar < Bars.Count; bar++)
				{
					if (CrossOver(bar,plot_DCPhase,plot_DCPhase_offset)
						&& plot_DCPhase[bar] > 0)
					{
						startTop = bar;
						if (startBottom != 0)
							DrawLine(PricePane,startBottom,Close[startBottom],startTop,Close[startBottom],Color.Maroon,LineStyle.Dots,2);
					}
					if (CrossUnder(bar,plot_DCPhase,plot_DCPhase_offset)
						&& plot_DCPhase[bar] < 0)
					{
						startBottom = bar;
						if (startTop != 0)
							DrawLine(PricePane,startTop,Close[startTop],startBottom,Close[startTop],Color.DarkGray,LineStyle.Dots,2);
					}
				}
				
				if (startTop > startBottom)
					DrawLine(PricePane,startTop,Close[startTop],Bars.Count-1,Close[startTop],Color.DarkGray,LineStyle.Dots,2);
				else
					DrawLine(PricePane,startBottom,Close[startBottom],Bars.Count-1,Close[startBottom],Color.Maroon,LineStyle.Dots,2);
				
				if (plotInternals.ValueInt == 1)
				{
					// If you want to debug or use the Hilbert internals
					ChartPane p3 = CreatePane(50,true,true);
					PlotSeries (p3,Price,Color.Black,LineStyle.Solid,1);
				
					ChartPane p4 = CreatePane(50,true,true);
					PlotSeries (p4,InPhase,Color.Black,LineStyle.Solid,1);
				
					ChartPane p5 = CreatePane(50,true,true);
					PlotSeries (p5,Quadrature,Color.Black,LineStyle.Solid,1);
				
					ChartPane p6 = CreatePane(50,true,true);
					PlotSeries (p6,Value1,Color.Black,LineStyle.Solid,1);
					ChartPane p7 = CreatePane(50,true,true);
					PlotSeries (p7,Value2,Color.Black,LineStyle.Solid,1);
					ChartPane p8 = CreatePane(50,true,true);
					PlotSeries (p8,Value3,Color.Black,LineStyle.Solid,1);
					ChartPane p9 = CreatePane(50,true,true);
					PlotSeries (p9,Value4,Color.Black,LineStyle.Solid,1);
					ChartPane p10 = CreatePane(50,true,true);
					PlotSeries (p10,Value5,Color.Black,LineStyle.Solid,1);
					
					ChartPane p11 = CreatePane(50,true,true);
					PlotSeries (p11,DeltaPhase,Color.Black,LineStyle.Solid,1);
				}
			}
		}
	}
}
[/CODE]

Eugene

4/23/2009 3:07 PM

Thanks Mike, great job! Does the output looks different from WL4 or I'm doing something incorrectly? I'm not familiar with the formula, so very well could be. Another possible reason, as we know, is that the formulas have been changed along the way and that's why they weren't included in WL5.