Signal to Noise Ratio [SNR]

18 בפבר׳ 2019

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

20 בפבר׳ 2019

הערות שחרור

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