yatrader2

FUNCTION: Goertzel algorithm -- DFT of a specific frequency bin

This function implements the Goertzel algorithm (for integer N).

The Goertzel algorithm is a technique in digital signal processing (DSP) for efficient evaluation of the individual terms of the discrete Fourier transform (DFT).

In short, it measure the power of a specific frequency like one bin of a DFT, over a rolling window (N) of samples.

Here you see an input signal that changes frequency and amplitude (from 7 bars to 17). I am running the indicator 3 times to show it measuring both frequencies and one in between (13). You can see it very accurately measures the signals present and their power, but is noisy in the transition. Changing the block len will cause it to be more responsive but noisier.

Here is a picture of the same signal, but with white noise added.

If you have a cycle you think is present you could use this to test it, but the function is designed for integration in to more complicated scripts. I think power is best interrupted on a log scale.

Given a period (in bars or samples) and a block_len (N in Goertzel terminology) the function returns the Real (InPhase) and Quadrature (Imaginary) components of your signal as well as calculating the power and the instantaneous angle (in radians).

I hope this proves useful to the DSP folks here.
開源腳本

本著真正的TradingView精神,該腳本的作者將其開源發布,以便交易者可以理解和驗證它。為作者喝彩吧!您可以免費使用它,但在出版物中重複使用此代碼受網站規則的約束。 您可以收藏它以在圖表上使用。

想在圖表上使用此腳本?