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Fast Fourier Transform - Plots the Amplitude of the different Bins

by QuantShare, 2418 days ago
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Here is an example of how to use fast Fourier transform in QuantShare.
This function calculates the amplitude of the different FFT bins and plots each one on a chart using each time a different color.

How it works:
- The function "FFtAmpPlot" gets a time series (For example, the close time series) and a period
- The fast Fourier transform is applied to the time series
- It returns (N) FFT complex bins (N = period length / 2) where each bin is a complex number (composed of a real and imaginary parts)
- The function ignores the first two values returned by the fast Fourier transform function (This is because the first bin represents DC component)
- It loops through each trading bar
- For each trading bar it loops through bins and calculates the amplitude of each bin
- It finally plots each bin's amplitude on the chart

Note that in QuantShare and unlike many other software programs, the fast Fourier transform is calculated for each trading bar. This allows you to backtest any indicator or composite that is based on the fast Fourier transform.

Example of usage:
a = FFtAmpPlot(close, 16); // The period must be a power of 2





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Type: Trading Indicator

Object ID: 1272


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