Supported Indicators
Hilbert Transform
Introduction
This indicator computes the Hilbert Transform Indicator by John Ehlers. By using present and prior price differences, and some feedback, price values are split into their complex number components of real (inPhase) and imaginary (quadrature) parts.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using HilbertTransform Indicator
To create an automatic indicators for HilbertTransform
, call the HilbertTransform
helper method from the QCAlgorithm
class. The HilbertTransform
method creates a HilbertTransform
object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize
method.
public class HilbertTransformAlgorithm : QCAlgorithm { private Symbol _symbol; private HilbertTransform _hilberttransform; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _hilberttransform = HilbertTransform(SPY); } public override void OnData(Slice data) { if (_hilberttransform.IsReady) { // The current value of _hilberttransform is represented by itself (_hilberttransform) // or _hilberttransform.Current.Value Plot("HilbertTransform", "hilberttransform", _hilberttransform); // Plot all properties of hilberttransform Plot("HilbertTransform", "inphase", _hilberttransform.InPhase); Plot("HilbertTransform", "quadrature", _hilberttransform.Quadrature); } } }
class HilbertTransformAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.hilberttransform = self.HilbertTransform(SPY) def OnData(self, slice: Slice) -> None: if self.hilberttransform.IsReady: # The current value of self.hilberttransform is represented by self.hilberttransform.Current.Value self.Plot("HilbertTransform", "hilberttransform", self.hilberttransform.Current.Value) # Plot all attributes of self.hilberttransform self.Plot("HilbertTransform", "inphase", self.hilberttransform.InPhase.Current.Value) self.Plot("HilbertTransform", "quadrature", self.hilberttransform.Quadrature.Current.Value)
The following reference table describes the HilbertTransform method:
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For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a HilbertTransform
indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update
method with time/number pair, or an IndicatorDataPoint
. The indicator will only be ready after you prime it with enough data.
public class HilbertTransformAlgorithm : QCAlgorithm { private Symbol _symbol; private HilbertTransform _hilberttransform; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _hilberttransform = new HilbertTransform(SPY); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _hilberttransform.Update(bar.EndTime, bar.Close); } if (_hilberttransform.IsReady) { // The current value of _hilberttransform is represented by itself (_hilberttransform) // or _hilberttransform.Current.Value Plot("HilbertTransform", "hilberttransform", _hilberttransform); // Plot all properties of hilberttransform Plot("HilbertTransform", "inphase", _hilberttransform.InPhase); Plot("HilbertTransform", "quadrature", _hilberttransform.Quadrature); } } }
class HilbertTransformAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.hilberttransform = HilbertTransform(SPY) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.hilberttransform.Update(bar.EndTime, bar.Close) if self.hilberttransform.IsReady: # The current value of self.hilberttransform is represented by self.hilberttransform.Current.Value self.Plot("HilbertTransform", "hilberttransform", self.hilberttransform.Current.Value) # Plot all attributes of self.hilberttransform self.Plot("HilbertTransform", "inphase", self.hilberttransform.InPhase.Current.Value) self.Plot("HilbertTransform", "quadrature", self.hilberttransform.Quadrature.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class HilbertTransformAlgorithm : QCAlgorithm { private Symbol _symbol; private HilbertTransform _hilberttransform; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _hilberttransform = new HilbertTransform(SPY); RegisterIndicator(_symbol, _hilberttransform, Resolution.Daily); } public override void OnData(Slice data) { if (_hilberttransform.IsReady) { // The current value of _hilberttransform is represented by itself (_hilberttransform) // or _hilberttransform.Current.Value Plot("HilbertTransform", "hilberttransform", _hilberttransform); // Plot all properties of hilberttransform Plot("HilbertTransform", "inphase", _hilberttransform.InPhase); Plot("HilbertTransform", "quadrature", _hilberttransform.Quadrature); } } }
class HilbertTransformAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.hilberttransform = HilbertTransform(SPY) self.RegisterIndicator(self.symbol, self.hilberttransform, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.hilberttransform.IsReady: # The current value of self.hilberttransform is represented by self.hilberttransform.Current.Value self.Plot("HilbertTransform", "hilberttransform", self.hilberttransform.Current.Value) # Plot all attributes of self.hilberttransform self.Plot("HilbertTransform", "inphase", self.hilberttransform.InPhase.Current.Value) self.Plot("HilbertTransform", "quadrature", self.hilberttransform.Quadrature.Current.Value)
The following reference table describes the HilbertTransform constructor:
HilbertTransform()1/2
HilbertTransform QuantConnect.Indicators.HilbertTransform (
string
name
)
Creates a new Hilbert Transform indicator.
HilbertTransform()2/2
HilbertTransform QuantConnect.Indicators.HilbertTransform ( )
Creates a new Hilbert Transform indicator with default name and default params.
Visualization
The following image shows plot values of selected properties of HilbertTransform
using the plotly library.
