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

[Tams]

USING THE FISHER TRANSFORM
By John Ehlers

.

[HAL9000]

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.

[Tams]

Originally Posted by HAL9000 »

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/for...bars-5709.html

PRV -- Pro Rated Volume
http://www.traderslaboratory.com/for...lume-5814.html

Volume DayAverage
http://www.traderslaboratory.com/for...rage-5753.html

Moving Average with Extension
http://www.traderslaboratory.com/for...sion-5642.html

How to Draw a Tape
http://www.traderslaboratory.com/for...tape-5646.html

Masthead
http://www.traderslaboratory.com/for...head-5768.html

Scalper's HL Bracket (with Sound)
http://www.traderslaboratory.com/for...ound-6084.html

STRSQZ -- Stretch and Squeeze
http://www.traderslaboratory.com/for...eeze-5880.html

Shifted
http://www.traderslaboratory.com/for...fted-5949.html


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

Enjoy!