Fisher Transformation free
by This is a very fast crossover trade trigger indicator and if used in conjunction with a good trend-following tool it is predictive and can be applied in strategies (coming soon). When compared to MACD or other crossover indicators the Fisher Transform is clearly superior and timely.
u s i n g S y s t e m ;
u s i n g c A l g o . A P I ;
u s i n g c A l g o . A P I . I n d i c a t o r s ;
n a m e s p a c e c A l g o . I n d i c a t o r s
{
[ I n d i c a t o r ( I s O v e r l a y = f a l s e , A c c e s s R i g h t s = A c c e s s R i g h t s . N o n e ) ]
p u b l i c c l a s s F i s h e r T r a n s f o r m : I n d i c a t o r
{
[ O u t p u t ( " F i s h e r T r a n s f o r m " , C o l o r = C o l o r s . O r a n g e ) ]
p u b l i c I n d i c a t o r D a t a S e r i e s F i s h { g e t ; s e t ; }
[ O u t p u t ( " T r i g g e r " , C o l o r = C o l o r s . G r e e n ) ]
p u b l i c I n d i c a t o r D a t a S e r i e s t r i g g e r { g e t ; s e t ; }
[ P a r a m e t e r ( D e f a u l t V a l u e = 1 3 , M i n V a l u e = 2 ) ]
p u b l i c i n t L e n { g e t ; s e t ; }
d o u b l e M a x H ;
d o u b l e M i n L ;
i n t t r = 0 ;
p r i v a t e I n d i c a t o r D a t a S e r i e s p r i c e ;
p r i v a t e I n d i c a t o r D a t a S e r i e s V a l u e 1 ;
p r o t e c t e d o v e r r i d e v o i d I n i t i a l i z e ( )
{
p r i c e = C r e a t e D a t a S e r i e s ( ) ;
V a l u e 1 = C r e a t e D a t a S e r i e s ( ) ;
}
p u b l i c o v e r r i d e v o i d C a l c u l a t e ( i n t i n d e x )
{
i f ( i n d e x < = L e n + 1 )
{
V a l u e 1 [ i n d e x - 1 ] = 1 ;
F i s h [ i n d e x - 1 ] = 0 ;
}
p r i c e [ i n d e x ] = ( M a r k e t S e r i e s . H i g h [ i n d e x ] + M a r k e t S e r i e s . L o w [ i n d e x ] ) / 2 ;
M a x H = p r i c e [ i n d e x ] ;
M i n L = p r i c e [ i n d e x ] ;
f o r ( i n t i = i n d e x ; i > i n d e x - L e n ; i - - )
{
M i n L = M a t h . M i n ( M i n L , p r i c e [ i ] ) ;
M a x H = M a t h . M a x ( M a x H , p r i c e [ i ] ) ;
}
i f ( V a l u e 1 [ i n d e x ] > 0 . 9 9 9 9 ) { V a l u e 1 [ i n d e x ] = 0 . 9 9 9 9 ; }
i f ( V a l u e 1 [ i n d e x ] < - 0 . 9 9 9 9 ) { V a l u e 1 [ i n d e x ] = - 0 . 9 9 9 9 ; }
V a l u e 1 [ i n d e x ] = 0 . 5 * 2 * ( ( p r i c e [ i n d e x ] - M i n L ) / ( M a x H - M i n L ) - 0 . 5 ) + 0 . 5 * V a l u e 1 [ i n d e x - 1 ] ;
F i s h [ i n d e x ] = 0 . 2 5 * M a t h . L o g ( ( 1 + V a l u e 1 [ i n d e x ] ) / ( 1 - V a l u e 1 [ i n d e x ] ) ) + 0 . 5 * F i s h [ i n d e x - 1 ] ;
t r i g g e r [ i n d e x ] = F i s h [ i n d e x - 1 ] ;
}
}
} 
Sorry I might be wrong but can you explain me why do you calculate the fisher transform without calculating the Correlation coefficient ? thank you
Most of your indicators are great! and really useful
Unfortunatelly, this one doesn't show anything once loaded onto the chart
Moreover, the variable from line 22 (int tr = 0;) is not used anywhere..
Could you, by any chance, look into this code again, please?
Here is the code optimized, and with a fix. the 0.9999 check should be after assigning a value to Value1, thats why some periods appear are blank.
using System;
using cAlgo.API;
using cAlgo.API.Indicators;
namespace cAlgo.Indicators
{
[Indicator(IsOverlay = false, AccessRights = AccessRights.None)]
public class FisherTransform : Indicator
{
[Output("FisherTransform", LineColor = "Orange")]
public IndicatorDataSeries Fish { get; set; }
[Output("Trigger", LineColor = "Green")]
public IndicatorDataSeries trigger { get; set; }
[Parameter(DefaultValue = 13, MinValue = 2)]
public int Len { get; set; }
double MaxH;
double MinL;
private IndicatorDataSeries Value1;
protected override void Initialize()
{
Value1 = CreateDataSeries();
}
public override void Calculate(int index)
{
if (index <= Len + 1)
{
Value1[index - 1] = 1;
Fish[index - 1] = 0;
}
MaxH = MarketSeries.Median.Maximum(Len);
MinL = MarketSeries.Median.Minimum(Len);
Value1[index] = 0.5 * 2 * ((MarketSeries.Median[index] - MinL) / (MaxH - MinL) - 0.5) + 0.5 * Value1[index - 1];
if (Value1[index] > 0.9999)
Value1[index] = 0.9999;
else if (Value1[index] < -0.9999)
Value1[index] = -0.9999;
Fish[index] = 0.25 * Math.Log((1 + Value1[index]) / (1 - Value1[index])) + 0.5 * Fish[index - 1];
trigger[index] = Fish[index - 1];
}
}
}
