Hilbert Transform - Dominant Cycle Period
Overview
The Hilbert Transform - Dominant Cycle Period is part of John Ehlers' suite of advanced technical indicators that apply digital signal processing techniques to financial markets. This indicator measures the dominant cycle period in market data, essentially identifying how many bars constitute the current market cycle. Unlike fixed-period indicators, it adapts to changing market conditions by continuously measuring and updating the cycle length.
The indicator uses the Hilbert Transform, a mathematical technique that extracts instantaneous phase and frequency information from a signal. By analyzing phase changes over time through InPhase and Quadrature components, it can accurately determine the period of the dominant market cycle. This measurement is smoothed using a median filter to reduce noise and constrained between 6 and 63 bars for practical trading applications.
Interpretation & Trading Signals
Cycle Period Readings:
- Short Periods (6-10 bars): Fast market cycles, high volatility, choppy conditions
- Medium Periods (10-20 bars): Normal market cycling, balanced conditions
- Long Periods (20-40 bars): Slow market cycles, trending conditions developing
- Very Long Periods (40-63 bars): Strong trending market with weak cyclical component
Practical Applications:
- Adaptive Indicators: Use period output to dynamically adjust moving averages and oscillators
- Cycle Trading: Time entries/exits based on measured cycle length
- Market State: Identify trending vs cycling market conditions
- Filter Optimization: Automatically tune bandpass filters to current market frequency
Technical Details:
- Phase Calculation: Uses InPhase and Quadrature components from Hilbert Transform
- Constraints: DeltaPhase limited to 0.1-1.1 radians (6-63 bar cycles)
- Smoothing: 5-sample median filter reduces noise in measurements
- No Parameters: Fully adaptive - requires no user configuration
Example Usage
Code examples will be available once the Rust implementation is complete.