A kind of signal build mould and identification tool for roller of rolling mill was discussed. Basic algorithm of Hidden Markov model (HMM) theory was presented. For ψ500×2 shrewd roller of rolling mill, the paper led Short-time Fourier transform (STFT) into draw the feature of roller signal and chose Continues Gaussian Hidden Markov Model (CGHMM) to build and identify mould. The experiment installation major included: ψ500×2 shrewd rollers and roller performance test control work of rolling mill control machine as well as a set of online state inspection system. The experiment data was collected by two kinds: roller rotational speed from low to high and from high to low. The experiment shows that this system has better identification rate, and proves that this system is effective.