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Hilbert Sine Wave for Amibroker (AFL)

Rating:
3 / 5 (Votes 3)
Tags:
oscillator, amibroker

The following is a Hilbert Sine Wave developed by by Corey Saxe in 2003

Screenshots

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Indicator / Formula

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SetBarsRequired( 1000000, 1000000 );
price = ( H + L ) / 2;
alpha = Param( "alpha", 0.07, 0.01, 1, 0.01 );

pi = 4 * atan( 1 ); //have a piece...
RTD = 180 / pi; //radians to degrees
DTR = 1 / RTD; //degrees to radians
SWcount = 0;
SWGate = 0;
Jcount = 0;
SWCycle = 0;
I1 = 0;
Q1 = 0;
InstPeriod = 0;
DeltaPhase = 0;
MedianDelta = 0;
DC = 0;
Value1 = 0;
DCPeriod = 0;
RealPart = 0;
ImagPart = 0;
DCPhase = 0;
MedianDelta = 0;
Cycle = 0;
RealPart = 0;
ImagPart = 0;
// Sine wave generator-----------------------------------------------------------
freq = Param( "Freq", 15, 6, 50, 1 );
SWcycle = sin( Cum( 1 ) * ( 360 * DTR ) / freq ) + 2;
Price = IIf( Param( "Prices or test", 1, 1, 2, 1 ) == 1, Price, SWCycle ); //Select sinewave test pattern or real prices
//End Sine wave generator--------------------------------------------------------

for ( i = 36;i < BarCount;i++ )//37
{
    Smooth[i] = ( price[i] + 2 * price[i-1] + 2 * price[i-2] + price[i-3] ) / 6;
    Cycle[i] = ( ( 1 - 0.5 * alpha[i] ) ^ 2 ) * ( Smooth[i] - 2 * Smooth[i-1] + Smooth[i-2] ) + 2 * ( 1 - alpha[i] ) * Cycle[i-1] - ( ( 1 - alpha[i] ) ^ 2 ) * Cycle[i-2];

//Hilbert Transform}
    Q1[i] = ( 0.0962 * Cycle[i] + 0.5769 * Cycle[i-2] - 0.5769 * Cycle[i-4] - 0.0962 * Cycle[i-6] ) * ( 0.5 + 0.08 * InstPeriod[i-1] );
    I1[i] = Cycle[i-3];

    if ( Q1[i] != 0 AND Q1[i-1] != 0 )
        DeltaPhase[i] = ( I1[i] / Q1[i] - I1[i-1] / Q1[i-1] ) / ( 1 + I1[i] * I1[i-1] / ( Q1[i] * Q1[i-1] ) );

    if ( DeltaPhase[i] < 0.1 )
        DeltaPhase[i] = 0.1;

    if ( DeltaPhase[i] > 1.1 )
        DeltaPhase[i] = 1.1;

    MedianDelta = Median( DeltaPhase , 5 );

//zzz[i]=Mediandelta[i]; OK
//zzz=Mediandelta[i]; NOT OK
    if ( MedianDelta[i] == 0 )
        DC[i] = 15;
    else
        DC[i] = 2 * pi / MedianDelta[i] + 0.5;//DC[i] is OK

    InstPeriod[i] = 0.33 * DC[i] + 0.67 * InstPeriod[i-1];

    Value1[i] = 0.15 * InstPeriod[i] + 0.85 * Value1[i-1];

//Compute Dominant Cycle Phase
    DCPeriod[i] = int( Value1[i] );

    for ( count = 0; count < DCPeriod[i] - 1; Count++ )//DCPeriod-1
    {
        RealPart[i] = RealPart[i] + sin( DTR * ( 360 * count / DCPeriod[i] ) ) * Cycle[i-count];
        ImagPart[i] = ImagPart[i] + cos( DTR * ( 360 * count / DCPeriod[i] ) ) * Cycle[i-count];
    }

// Code to prevent TS arctan > infinity
    if ( abs( ImagPart[i] ) > 0.000001 )
        DCPhase[i] = atan( RealPart[i] / ImagPart[i] );

    if ( abs( ImagPart[i] ) <= 0.000001 )
        DCPhase[i] = ( pi / 2 ) * sign( RealPart[i] );

    DCPhase[i] = DCPhase[i] + ( pi / 2 );//90

    if ( ImagPart[i] < 0 )
        DCPhase[i] = DCPhase[i] + pi;// add 180

    if ( DCPhase[i] > ( 7*pi / 4 ) )
        DCPhase[i] = DCPhase[i] - ( 2 * pi );// sub 360
}

Sine = sin( DCPhase );

LeadSine = sin( DCPhase + ( pi / 4 ) );
A1 = Cross( sine, Leadsine );
A2 = Cross( Leadsine, sine );
GraphXSpace = 5;
Plot( Sine, "Sine", colorRed, 1 );
Plot( LeadSine, "LeadSine", colorGreen, 1 );
//Plot(price,"",colorYellow,24|styleNoLabel);Plot(price,"Price",colorBlue,1|styleNoLabel);
//Plot(A1 OR A2,"Grn-Trough Red-Peak",IIf(A1,colorRed,IIf(A2,colorGreen,Null)),2|styleOwnScale|styleNoLabel);
//Plot(cycle,"cycle",3,1);
//Plot(smooth,"smooth",0,1);
//Plot(test,"dcp",2,8);Plot(test1,"dcp1",1,8);
//Plot(dcperiod,"DCPeriod",0,1);Plot(Count,"count",1,1);
//Plot(DC,"DC",2,1);
//Plot(realpart,"RP",0,1);Plot(imagpart,"IP",1,1);
//Plot(alpha,"alpha",2,1);

1 comments

1. cnbondre

Hi,
Thanks for sharing this afl.
For those more interested in Hilbert Sine Wave,
here is the link

http://emini-watch.com/products/hilbert-sine-wave/

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