ehlers fisher transform.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Ehlers Fisher Transform
//  Author/Uploader: Not Too Swift 
//  E-mail:          
//  Date/Time Added: 2005-03-26 23:33:11
//  Origin:          
//  Keywords:        
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=449
//  Details URL:     http://www.amibroker.com/library/detail.php?id=449
//
//------------------------------------------------------------------------------
//
//  The Fisher Transform converts price data to a nearly Gaussian probability
//  density function. The result is an indicator that reverses very sharply
//  when a trend changes.
//
//------------------------------------------------------------------------------

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, 10));
Plot(FisherXform, "Fisher Transform", colorRed, styleLine);
Plot(Ref(FisherXform, -1), "", colorBlue, styleLine);
PlotGrid(2);
PlotGrid(-2);