« »

Ehlers Fisher Transform

Created by John Ehlers, the Fisher Transform converts prices into a Gaussian normal distribution. [Discuss] 💬

// C# usage syntax
IEnumerable<FisherTransformResult> results =
  quotes.GetFisherTransform(lookbackPeriods);

Parameters

lookbackPeriods int - Number of periods (N) in the lookback window. Must be greater than 0. Default is 10.

Historical quotes requirements

You must have at least N periods of quotes to cover the warmup and convergence periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<FisherTransformResult>

• This method returns a time series of all available indicator values for the quotes provided.
• It always returns the same number of elements as there are in the historical quotes.
• It does not return a single incremental indicator value.

⚞ Convergence warning: The first N+15 warmup periods will have unusable decreasing magnitude, convergence-related precision errors that can be as high as ~25% deviation in earlier indicator values.

FisherTransformResult

Date DateTime - Date from evaluated TQuote

Fisher double - Fisher Transform

Trigger double - FT offset by one period

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods(qty)

For pruning of warmup periods, we recommend using the following guidelines:

quotes.GetFisherTransform(lookbackPeriods)
  .RemoveWarmupPeriods(lookbackPeriods+15);

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = quotes
    .Use(CandlePart.HL2)
    .GetFisherTransform(..);

Results can be further processed on Alma with additional chain-enabled indicators.

// example
var results = quotes
    .GetFisherTransform(..)
    .GetRsi(..);