Hilbert Transform Instantaneous Trendline

Created by John Ehlers, the Hilbert Transform Instantaneous Trendline is a 5-period trendline of high/low price that that uses classic electrical radio-frequency signal processing algorithms reduce noise. Dominant Cycle Periods information is also provided. [Discuss] 💬

// C# usage syntax
IReadOnlyList<HtlResult> results =
  bars.ToHtTrendline();

Historical price bars requirements

You must have at least 100 periods of bars to cover the warmup and convergence periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<HtlResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first 6 periods will have null values for SmoothPrice since there's not enough data to calculate.
• The first 7 periods will have null values for DcPeriods since there is not enough data to calculate; and are generally unreliable for the first ~25 periods.

🚩 ⚞ Convergence warning

The first 100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

HtlResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
DcPeriods	int	Dominant cycle periods (smoothed)
Trendline	double	HT Trendline
SmoothPrice	double	Weighted moving average of (H+L)/2 price

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Streaming

Real-time streaming

Use the streaming hub for real-time incremental calculations:

BarHub barHub = new();
HtTrendlineHub observer = barHub.ToHtTrendlineHub();

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<HtlResult> results = observer.Results;

Buffer-style streaming

Use the buffer-style List<T> when you need incremental calculations:

HtTrendlineList htlList = new();

foreach (IBar bar in bars)  // simulating stream
{
  htlList.Add(bar);
}

// based on `ICollection<HtlResult>`
IReadOnlyList<HtlResult> results = htlList;

See Buffer lists and Stream hubs for full usage guides.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = bars
    .Use(CandlePart.HLC3)
    .ToHtTrendline(..);

Results can be further processed on Trendline with additional chain-enabled indicators.

// example
var results = bars
    .ToHtTrendline(..)
    .ToRsi(..);

See Chaining indicators for more.