An algorithm is presented for designing a new class of wavelets matched to the Heart Rate Variability (HRV) signals of the menstrual cycle. The proposed wavelets are used to find HRV variations between phases of menstrual cycle. The method finds the signal matching characteristics by minimising the shape feature error using Least Mean Square method. The proposed filter banks are used for the decomposition of the HRV signal. For reconstructing the original signal, the tree structure method is used. In this approach, decomposed sub-bands are selected based upon their energy in each sub-band. Thus, instead of using all sub-bands for reconstruction, sub-bands having high energy content are used for the reconstruction of signal. Thus, a lower number of sub-bands are required for reconstruction of the original signal which shows the effectiveness of newly created filter coefficients. Results show that proposed wavelets are able to differentiate HRV variations between phases of the menstrual cycle accurately than standard wavelets.