Name: Ehler's Fisher Transform
Author: volodya

Description

Based on the original Ehler's article on Fisher Transform: https://www.mesasoftware.com/papers/UsingTheFisherTransform.pdf This filter is used to predict the trend turning points. The code uses Pshai's CC_IndicatorMemory. I would like to thank Pshai for helping me with the debugging. Usage:


local per = Input('Period', 20, 'Fisher transform period')
local fisherTF = Input('TF for Fisher transform', 1)
OptimizedForInterval(
    fisherTF,
    function()
        local src = HLPrices(fisherTF)
        local fisher = CC_FISHER(src, 20)
        Plot(1, 'fisher', fisher)
    end
)

DefineCommand('FISHER', 'Fisher Transform')

local src = DefineParameter(ListNumberType, 'source', 'Data source to transform', true, HLPrices())
local per = DefineParameter(NumberType, 'period', 'Fisher Transform period', true, 20)

local fish = CC_IndicatorMemory(
    function(j, mem)
        local s = CC_IndicatorMemory(
            function(i, mem)
                local highest = GetHigh(src[i], per)
                local lowest = GetLow(src[i], per)
                local prevValue = mem[1] or 0
                local value = .33*2*(ArrayGet( ((src - lowest) / (highest - lowest) - .5), 1)) + .67*prevValue
                if value > .99 then
                value  = .999
                end
                if value &lt; -.99 then
                value = -.999
                end

                return value
            end)
        local prevFisher = mem[1] or 0
        local fisher = .5*Ln((1 + s[j])/(1 - s[j])) + .5*prevFisher
        
        return ArrayGet(fisher, 1)
end)

DefineOutput(ListNumberType, fish)

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