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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
53 lines
1.8 KiB
Plaintext
53 lines
1.8 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Ehlers Fisher Transform (FISHER)", "FISHER", overlay=false)
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//@function Calculates the Fisher Transform oscillator
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//@param source Source price (typically hl2)
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//@param period Lookback period for min/max normalization
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//@returns [fisher, signal] Fisher Transform value and signal line
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fisher(series float source, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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if period > 500
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runtime.error("Period exceeds maximum of 500")
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var float value = 0.0
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var float fisher = 0.0
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var float signal = 0.0
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float highest = ta.highest(source, period)
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float lowest = ta.lowest(source, period)
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float price_range = highest - lowest
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float normalized = price_range > 0 ? (source - lowest) / price_range : 0.5
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normalized := 2.0 * normalized - 1.0
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float alpha = 0.33
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value := alpha * normalized + (1.0 - alpha) * value
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// Ehlers/Skender: snap to ±0.999 when |Value1| > 0.99
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value := value > 0.99 ? 0.999 : value < -0.99 ? -0.999 : value
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// Ehlers 2002: Fish = arctanh(Value1) + 0.5 * Fish[1] (IIR feedback)
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fisher := 0.5 * math.log((1.0 + value) / (1.0 - value)) + 0.5 * fisher
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// Signal = Fish[1] (previous bar's Fisher)
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signal := fisher[1]
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[fisher, signal]
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// ---------- Main loop ----------
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i_period = input.int(10, "Period", minval=1, maxval=500)
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i_source = input.source(hl2, "Source")
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[fisher_line, signal_line] = fisher(i_source, i_period)
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plot(fisher_line, "Fisher", color=color.yellow, linewidth=2)
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plot(signal_line, "Signal", color=color.orange, linewidth=1)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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hline(2, "Overbought", color=color.red, linestyle=hline.style_dashed)
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hline(-2, "Oversold", color=color.green, linestyle=hline.style_dashed)
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