Rank: Advanced Member
Groups: Registered, Registered Users
Joined: 3/30/2009(UTC)
Posts: 46
Location: Hawaii, US
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Hi, I found MS code for the fisher transform indicator: pr:=(H+L)/2;
len:=10;
maxh:=HHV(pr,len);
minl:=LLV(pr,len);
val1:=.33*2*((pr-minl)/(maxh-minl)-.5)+.67*PREV;
value1:=If(val1>.99,.999,If(val1<-.99,-.999,val1));
fish:=.5*Log((1+value1)/(1-value1))+.5*PREV;
fish;
Ref(fish,-1); It may need some alteration for use in a strategy, I put the same thing into the buy/sell section of a strategy and ran it, expecting no trades since I hadn't yet qualified an entry but it did signal trades as is. What I am wanting to do is put it somewhere so I can work on strategies just typing FISH(OPT1)<FISH(OPT2) or whatever. Is there a way to do that? Also wanting to refer to previous day's value, which I guess would look like FISH(10)<PREV. How do you refer to 2, 3 days back? Thanks for any help!
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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Hi manatrader, The Fisher Transform itself is not a trading function: the Fisher Transform changes the probability density function (PDF) of an input so that the transformed output has an approximately Gaussian (or Normal) PDF. Read John Ehlers' "Cybernetic Analysis for Stocks and Futures" for more information on how it can be employed. (Just a personal opinion; adjusting, normalising, transforming data "too much" to fit into a trading system is tantamount to just adjusting the price data to suit yourself. Be careful how much data pre-forming or pre-conditioning is done as this can produce unreliable results. Of course, the hard part is finding out how much "too much" is!) manatrader wrote:I put the same thing into the buy/sell section of a strategy and ran
it, expecting no trades since I hadn't yet qualified an entry but it
did signal trades as is. MS will read any value of 1 as TRUE and other values as FALSE (although this changes in several places in MS, and changes in some external functions too - - so be careful!) In this instance, when the last line of the Buy code, "Ref(fish,-1);" is equal to 1, a buy order will be generated. Read more about how MS and the EST does Boolean comparisons in the MS Users Manual. Hope this helps. wabbit [:D]
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