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> > This Fisher transform is kind of odd. Looking at the code,
> > Value1 is just a smoothed Stochastic re-centered around zero.
> > Then he takes log((1+Value1)/(1-Value1)) and smooths that. I'm
> > not sure what the log calculation is supposed to accomplish. It
> > basically just amplifies the smoothed stochastic, exaggerating
> > the points where the stoch approaches +/- 1. He pegs the extreme
> > values of value1 at +/- 0.99, which ends up limiting the Fisher
> > value to +/- 5.29. Why? Beats me. Guess he wanted to make it
> > really obvious when the stoch value was approaching its max/min
> > values.
>
> Apparently the limits are imposed to prevent value1 exceeding its 10
> (len) day range and crashing due to having a zero in the
> denominator.
Yes, I was unclear. The "Why? Beats me" meant I wasn't sure why
he did the log((1+V)/(1-V)) calculation.
> The exaggeration around the +/-1 points is to simulate the
> Probability Density Function of a sine wave. or something - don't
> ask, it's beyond me! (:-)
Hm. I'm not sure why he wants to simulate a PDF, but I suspect
it's not relevant for the usage you have in mind.
If that's the case, then for your purposes this Fisher transform
is nothing but a smoothed stochastic.
Gary
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