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martin I think their implementation of their frequency software counter only recognizes waves that have a high peak-to-peak difference. OpenHantek suffers from the same problem. But what you could do is try and move the rulers to manually mark a single wave. Then the frequency might appear somewhere. As seen here in the OpenHantek screenshot: https://ledstrain.org/d/312-homemade-oscilloscope-to-detect-pwm-diy-guide/39 the rulers are labeled "1" and "2" and can be moved manually. Hopefully Hantek's software has such rulers, too.
martin When its set on 10x it doesnt show any readings, so I leave it at 1x.
That is normal behavior, we need to keep it at "1x".
By the way, even PicoScope's frequency counter is not very accurate, so I always use the bars there, too. The counter is useful only for quick evaluation but I rarely use it. Stopping and then manually marking the wave is always more accurate.
martin I am confused as then I do not know how well to trust the measurements I make with this. When I measure with the soundcard oscope, it shows PWM at all brightness levels of 15Khz.
I would trust the oscilloscope, as it is the more precise tool. If you want to, you can create pretty precise PWM with a Raspberry Pi and low budget parts (the breadboard isn't even needed) and verify if the frequencies are correct: https://ledstrain.org/d/375-howto-create-pwm-led-flicker-with-a-raspberry-pi