[amibroker] Re: Rsi Fisher Transform

[Tim]

Here is a code I have for the Fisher Transform. Hope it helps.

Tim








_SECTION_BEGIN("Inverse Fisher Transform");
SetBarsRequired(200, 0);

// Ehlers formulas
// from Ehlers, John F. Cybernetic Analysis for Stocks and Futures.
Wiley. 2004. 
// Chapter 1, p. 1. Code on p. 7.

function InverseFisher(array)
{
  e2y = exp(2 * array);
  return (e2y - 1)/(e2y + 1);
}

function Normalize(array, arraylen)
// Figure 1.7 on p. 7
{
  MaxH = HHV(array, arraylen);
  MinL = LLV(array, arraylen);
  Value1[0] = array[0];  // Initialize as array

  for(i = 1; i < BarCount; i++)
  {
     Value1[i] = .5 * 2 * ((array[i] - MinL[i]) / (MaxH[i] - MinL[i])
- .5) + .5 * Value1[i-1];
     if (Value1[i] > .9999) Value1[i] = .9999;
     if (Value1[i] < -.9999) Value1[i] = -.9999;
  }
  return Value1;
}

function Fisher(array)
// Figure 1.7 on p. 7
{
  F = array;
  F = .25 * log((1+ array)/(1 - array)) + .5 * Ref(F, -1);
  return F;
}

Med = (H+L)/2;

// Fisher Transform
FisherXform = Fisher(Normalize(Med, 49));
Plot(FisherXform, "Fisher Transform", colorRed, styleLine);
Plot(Ref(FisherXform, -1), "", colorBlue, styleLine);
PlotGrid(2);
PlotGrid(-2);
Buy = Cross(FisherXform,Ref(FisherXform,-1));
Sell = Cross(Ref(FisherXform,-1),FisherXform);

PlotShapes(shapeUpArrow*Buy,colorBrightGreen);
PlotShapes(shapeDownArrow*Sell,colorRed);
_SECTION_END();