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Fisher Transform

by John Ehlers

 

 

The fisher transform indicator by John Ehlers is a range oscillator showing

where today's price is within the past N-days highest and lowest.

It has some smoothing, plus what's known in mathematics as a fisher transform.

 

The range position is similar to Stochastics and to Williams %R.

The fisher transformation stretches out values near the N-day high

and low to make large peaks so as to help highlight those extremes.

 

The calculation is as follows:

The prices used are the midpoint between the day's high and low (as in most of Ehlers' indicators).

Today's price is located within the highest and lowest of those midpoints from the past N days,

scaled to -1 for the low and 1 for the high.

 

     price = (high + low) / 2

                       price - Ndaylow
    raw = 2 * -----------------------     - 1
                   Ndayhigh - Ndaylow

 

This raw position is smoothed by a 5-day EMA (see Exponential Moving Average)

then a log form which is the fisher transform,

before a final further 3-day EMA smoothing.

 

     smoothed = EMA[5] of raw

                                       1 + smoothed
    fisher = EMA[3] of log ------------------
                                       1 - smoothed

 

The effect of the logarithm is to make “smoothed” values near 0 remain near there,

but values near 1 and -1 grow greatly, thus highlighting extremities.

A “smoothed” value of exactly +/-1 would transform to +/-infinity,

so a clamp of 0.999 is applied, effectively limiting the final result to about +/-7.5.

 

 

 

Source: Kevin Ryde

 

 

attachment.php?attachmentid=11963&stc=1&d=1246925687

Fisher_Transform.gif.1963ee9d5a9583e87d724bc6803bca3a.gif

FisherTransform.txt

FisherTransform_(MultiCharts).pla

Edited by Tams

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Hi Tams,

 

I have implemented this one some time ago for myself,

you know, in Java for evaluating LR angles.

Java, so it makes not much sense to post it here.

 

I haven't implemented the Fourier one (but have thought about it),

and I am impressed by your implementation (picture).

 

I also like Ehler's work, like others here.

 

But I have a question for you, with all my respect:

 

Which of your indicators are you using to trade?

 

 

Regards,

 

Hal

 

P.S.: I don't use all the indicators I have implemented during time, just a few have survived. And maybe these will die as well sooner or later.

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Hi Tams,

...

Which of your indicators are you using to trade?

Regards,

Hal

 

 

Hi Hal...

 

Thank you for your question.

 

The following indicators are on some or all of my charts:

 

Volume Weighed Color Bars

http://www.traderslaboratory.com/forums/f46/volume-weighed-color-bars-5709.html

 

PRV -- Pro Rated Volume

http://www.traderslaboratory.com/forums/f46/prv-pro-rated-volume-5814.html

 

Volume DayAverage

http://www.traderslaboratory.com/forums/f46/volume-dayaverage-5753.html

 

Moving Average with Extension

http://www.traderslaboratory.com/forums/f46/moving-average-extension-5642.html

 

How to Draw a Tape

http://www.traderslaboratory.com/forums/f46/how-draw-tape-5646.html

 

Masthead

http://www.traderslaboratory.com/forums/f46/masthead-5768.html

 

Scalper's HL Bracket (with Sound)

http://www.traderslaboratory.com/forums/f46/scalpers-hl-bracket-sound-6084.html

 

STRSQZ -- Stretch and Squeeze

http://www.traderslaboratory.com/forums/f46/strsqz-stretch-squeeze-5880.html

 

Shifted

http://www.traderslaboratory.com/forums/f46/shifted-5949.html

 

 

There are a few more, which I plan to release in the near future.

 

Enjoy!

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