81 lines
2.3 KiB
Go
81 lines
2.3 KiB
Go
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package indicator
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import (
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"math"
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"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// Fisher Transform
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//
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// The Fisher Transform is a technical analysis indicator that is used to identify potential turning points in the price of a security.
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// It is based on the idea that prices tend to be normally distributed, with most price movements being small and relatively insignificant.
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// The Fisher Transform converts this normal distribution into a symmetrical, Gaussian distribution, with a peak at zero and a range of -1 to +1.
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// This transformation allows for more accurate identification of price extremes, which can be used to make predictions about potential trend reversals.
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// The Fisher Transform is calculated by taking the natural logarithm of the ratio of the security's current price to its moving average,
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// and then double-smoothing the result. This resulting line is called the Fisher Transform line, and can be plotted on the price chart
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// along with the security's price.
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//
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//go:generate callbackgen -type FisherTransform
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type FisherTransform struct {
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types.SeriesBase
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types.IntervalWindow
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prices *types.Queue
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Values floats.Slice
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UpdateCallbacks []func(value float64)
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}
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func (inc *FisherTransform) Clone() types.UpdatableSeriesExtend {
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out := FisherTransform{
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IntervalWindow: inc.IntervalWindow,
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prices: inc.prices.Clone(),
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Values: inc.Values[:],
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}
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out.SeriesBase.Series = &out
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return &out
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}
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func (inc *FisherTransform) Update(value float64) {
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if inc.prices == nil {
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inc.prices = types.NewQueue(inc.Window)
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inc.SeriesBase.Series = inc
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}
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inc.prices.Update(value)
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highest := inc.prices.Highest(inc.Window)
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lowest := inc.prices.Lowest(inc.Window)
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if highest == lowest {
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inc.Values.Update(0)
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return
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}
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x := 2*((value-lowest)/(highest-lowest)) - 1
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if x == 1 {
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x = 0.9999
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} else if x == -1 {
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x = -0.9999
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}
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inc.Values.Update(0.5 * math.Log((1+x)/(1-x)))
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if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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}
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func (inc *FisherTransform) Last(i int) float64 {
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if inc.Values == nil {
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return 0.0
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}
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return inc.Values.Last(i)
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}
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func (inc *FisherTransform) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *FisherTransform) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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