SIGNAL-TO-NOISE RATIO

SIGNAL-TO-NOISE RATIO

Typ : Indicator, Name : Signal to Noise Ratio

Inputs: Price((H+L)/2);

Vars: Imult (.635),
Qmult (.338),
InPhase(0),
Quadrature(0),
Amplitude(0),
Range(0);

If CurrentBar > 8 then begin

{Detrend Price}
Value1 = Price — Price[7];

{Compute «Noise» as the average range}
Range = .2*(H — L) + .8*Range[1];

{Compute Hilbert Transform outputs}
Inphase = 1.25*(Value1[4] — Imult*Value1[2]) + Imult*InPhase[3];
Quadrature = Value1[2] — Qmult*Value1 + Qmult*Quadrature[2];

{Compute smoothed signal amplitude}
Value2 = .2*(InPhase*InPhase + Quadrature*Quadrature) + .8*Value2[1];

{Compute smoothed SNR in Decibels, guarding against a divide by zero error,

and compensating for filter loss}
If Value2 < .001 then Value2 = .001;
If Range > 0 then Amplitude = .25*(10*Log(Value2/(Range*Range))/

Log(10) + 1.9) + .75*Amplitude[1];

{Plot Results}
Plot1(Amplitude, «Amp»);
Plot2(6, «Ref»);

end;

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