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I shouldn't follow up to my own post, but a tidy up and generalisation gives
- --8<-- put this in your library.afl
function FisherTransform(price, period)
{
// The Fisher Transform changes the PDF of any waveform so that
// the transformed output has an approximately Gaussian PDF.
// See 'Using The Fisher Transform' by John Ehlers in the Nov 2002
// issue of Stocks and Commodities Magazine.
local Maxh, Minl;
local tmp;
Maxh = HHV(price, period);
Minl = LLV(price, period);
tmp = AMA2(2*((price-minl)/(maxh-minl)-0.5), 0.33, 0.67);
tmp = IIf(tmp > 0.99, 0.999, tmp);
tmp = IIf(tmp < -0.99, -0.999, tmp);
return AMA2(log((1+tmp2)/(1-tmp2)), 0.5, 0.5);
}
- --8<--
- --8<--
/* ib
Fisher Transform with Signal.afl
*/
#include <lib/Libnr.afl>
fish = FisherTransform((H+L)/2, 10);
Plot(fish, "Fisher", colorRed);
Plot(Ref(fish,-1), "Signal", colorBlue);
//--Indicator-End--
//http://www.linnsoft.com/tour/techind/fish.htm
"Fisher Transform (FISH) is based on the article 'Using The Fisher Transform'"
+" by John Ehlers in the November 2002 issue of Stocks and Commodities
Magazine. "
+" FISH has sharp and distinct turning points that occur in a timely fashion.
"
+" It is based on the assumption that prices do not have a Gaussian
probability"
+" density function (PDF), but you can create a nearly Gaussian PDF for prices
by"
+" normalizing price, or an indicator such as RSI, and applying the Fisher
Transform. "
+" The resulting peak swings clearly identify price reversals.";
- --8<--
- --8<--
/* ib
Fisher Transform with ROC.afl
*/
#include <lib/Libnr.afl>
fish = FisherTransform((H+L)/2, 10);
Plot(fish, "Fisher", colorRed);
Plot(10*(fish-Ref(fish,-1)), "ROC (x10)", colorBlue);
- --8<--
Cheers,
Nigel
On Tue, 10 Feb 2004 21:05, Nigel Rowe wrote:
> Are these sufficient? Straight translation from
> http://trader.online.pl/MSZ/e-w-Fisher_Transform.html
>
> It really doesn't take much effort to translate MS code.
>
. . . . snip . . . .
>
>
> Cheers,
> Nigel
>
> On Tue, 10 Feb 2004 20:37, Johan wrote:
> > Someone who has and donīt mind sharing John Ehlers Fisher transform
> > formula?
> >
> > Itīs both Fisher transform + Roc of the transform.
> >
> > Thank you
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