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Sorry if this is a double post--I tried earlier but maybe hit the
wrong key???
This is an early jscript version of Fisher. Is this what you're
looking for?
dale b
/*Fisher Transformation
TAS&C, Novermber,2002, p. 40*/
price=(H+L)/2;
Length=Optimize("length",3,1,50,1);
MaxH=HHV(price,Length);
MinL=LLV(price,Length);
EnableScript("jscript");
<%
MaxH=VBArray(AFL("MaxH")).toArray();
MinL=VBArray(AFL("MinL")).toArray();
price=VBArray(AFL("Price")).toArray();
//Create new array and initialize
Value1= new Array();
Fish=new Array();
Value1[0]=0;
Fish[0]=0;
//compute values
for (i=1;i<price.length;i++) {
Value1[i]=0.33*2*((price[i]-MinL[i])/(MaxH[i]-MinL[i])-0.5)
+0.67*Value1[i-1];
if (Value1[i]>0.99) {
Value1[i]=0.999;
}
if (Value1[i]<-0.99) {
Value1[i]=-0.99;
}
Fish[i]=0.5*Math.log((1+Value1[i])/(1-Value1[i]))+0.5*Fish[i-1];
}
AFL("Fish")=Fish;
%>//End of JScrip
Trigger=Ref(Fish,Optimize("Lookback",-1,-20,-1,1));
FishROC=MA(100*(C-Ref(C,-1))/Ref(C,-1),5);
//Buy=Cross(fishROC,fish);
//Sell=Cross(Fish,FishROC);
Buycond1=Cross(Fish,Trigger);
SellCond1=Cross(Trigger,Fish);
SellCond2=BarsSince(BuyCond1)>4;//Optimize("days since Buy",4,1,20,1);
BuyCond2=BarsSince(SellCond1)>4;//Optimize("Days since
Sell",4,5,20,1);
Buy=BuyCond1;// AND BuyCond2;
Sell=SellCond1;// AND SellCond2;
Cover=Buy;
Short=Sell;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
Cover=ExRem(Cover,Short);
Short=ExRem(Short,Cover);
Plot(Fish,"Fisher Transformation",4,1);
Plot(Ref(Fish,-1),"Trigger",5,1);
Plot(FishROC,"ROC",6,1);
/*********End***************/
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> This AFL (below) provides the first two curves of the Fisher
Transform.
> According to John Ehlers we should also look at the ROC of 'fish'.
See here:
>
> http://www.mesasoftware.com/Fisher.doc
>
> When I try to do this using:
>
> plot(ROC(Fish,1),"ROC",1,1);
>
> I get a strange line, not at all like Ehlers'.
>
> Here is the metastock version:
>
> http://www.equis.com/Support/TASCArticles/ViewArticle.aspx?Id=37
>
> Can anyone help me sort my ROC?
>
> Steve
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