Signal to Noise Ratio [SNR]

2019年2月18日

Intro
This script measures the Signal to Noise ratio of a security and plots it in deciBels scale!

Usage
Ideally, you would want the ratio to be above 10 dB, meaning the Signal strength is 10x the noise strength.
As a baseline, you should not rely on indicators that use any kind of moving average if the SNR is below 6 dB - meaning Signal strength is only 4x noise strength.

I've written the SNR as a functional block so you may simply copy and paste, then call getSNR() to get the ratio in dB.

Principle
I consider a bar's High and Low to be the range of that period and (High + Low)/2 to be the "real" value of the signal.
This script compares a bars range (noise) to the perceived signal using a Hilbert Transform.

Cheers,
DasanC

2019年2月20日

發行說明

Changed the visual styles. You can drop this code snippet into another indicator and changed the transparency settings to have it in the background!