[GnAsHeR] Inverse Fisher Transform on CCI - IFTCCI

Name: [GnAsHeR] Inverse Fisher Transform on CCI - IFTCCI
Author: GnAsHeR

stable

By GnAsHeR in Momentum Published July 2021 👁 2,011 views 💬 0 comments

Description

-- Inverse Fisher Transfor on CCI indicator -- -- About INVERSE FISHER TRANSFORM: -- -- The purpose of technical indicators is to help with your timing decisions to buy or sell. Hopefully, the signals are clear -- and unequivocal. However, more often than not your decision to pull the trigger is accompanied by crossing your -- fingers. Even if you have placed only a few trades you know the drill. -- The Fisher Transform can be applied to almost any normalized data set to make the resulting PDF nearly Gaussian, -- with the result that the turning points are sharply peaked and easy to identify. -- The Fisher Transform is defined by the equation -- 1) Whereas the Fisher Transform is expansive, the Inverse Fisher Transform is compressive. The Inverse Fisher Transform -- is found by solving equation 1 for x in terms of y. The Inverse Fisher Transform is: -- 2) The transfer response of the Inverse Fisher Transform is shown in Figure If the input falls between –0.5 and +0.5, -- the output is nearly the same as the input. -- For larger absolute values (say, larger than 2), the output is compressed to be no larger than unity . -- The result of using the Inverse Fisher Transform is that the output has a very high probability of being either +1 or –1. -- This bipolar probability distribution makes the Inverse Fisher Transform ideal for generating an indicator that provides -- clear buy and sell signals. -- -- Author: KıvanÇ @fr3762 twitter - ported by GnAsHeR twitter : @Eris Kucukoglu

-- Define command
    DefineCommand('IFTCCI', 'Inverse Fisher Transform on CCI')

    -- Define command parameters.
    local chartIndex = DefineParameter(NumberType, 'chartIndex', 'The index on which to chart', true, 1, 'Number')
    local name = DefineParameter(StringType, 'name', 'Inverse Fisher Transform on STOCHASTIC', false, '', 'Text')
    local interval = DefineParameter(NumberType, 'interval', 'Used interval for price data. Default is 0 and the main interval will be used.', false, 0, 'Number,InputInterval')
    
    -- This will improve our backtest speed when using the command.
    DefineIntervalOptimization(interval)

    -- Input fields for the indicator.
    InputGroupHeader('IFTCCI '..name..' Settings')
    local ccilength = Input('CCI Length', 5)
    local wmalength = Input('Smoothing length', 9)

    local buyLevel = Input(name..' Buy Level', -0.5)
    local sellLevel = Input(name..' Sell Level', 0.5)

    -- Calculate the indicator
    local c = ClosePrices()
    local h = HighPrices()
    local l = LowPrices()
    local v1 = 0.1*(CCI(h, l, c, ccilength))
    local v2 = WMA(v1, wmalength)
    local INV = (Exp(2*v2)-1)/(Exp(2*v2)+1)

    -- Determine the signal.
    local signal = SignalNone
    if INV &lt; buyLevel and IsRising(INV, 1) then
        signal = SignalLong
    elseif INV[2] &lt; buyLevel and IsRising(INV, 1) then
        signal = SignalLong
    elseif INV > sellLevel and IsFalling(INV, 1) then
        signal = SignalShort
    elseif INV[2] > sellLevel and IsFalling(INV, 1) then
        signal = SignalShort
    end

    -- Plot Indicator
    PlotLineBuySellZone(chartIndex, 'IFTCCI', INV, buyLevel, sellLevel)
    ChartSetAxisOptions(chartIndex, RightAxis, -1, 1)
    PlotHorizontalLine(chartIndex, 'Overbought', Blue, sellLevel, Dashed)
    PlotHorizontalLine(chartIndex, 'Oversold', Red, buyLevel, Dashed)

    --Return the custom signal.
    DefineOutput(EnumType, signal, 'Signal result', 'TradeBotContainer, IndicatorContainer, Signal Helpers')

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