package indicator import ( "math" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/types" ) // Fisher Transform // // The Fisher Transform is a technical analysis indicator that is used to identify potential turning points in the price of a security. // It is based on the idea that prices tend to be normally distributed, with most price movements being small and relatively insignificant. // The Fisher Transform converts this normal distribution into a symmetrical, Gaussian distribution, with a peak at zero and a range of -1 to +1. // This transformation allows for more accurate identification of price extremes, which can be used to make predictions about potential trend reversals. // The Fisher Transform is calculated by taking the natural logarithm of the ratio of the security's current price to its moving average, // and then double-smoothing the result. This resulting line is called the Fisher Transform line, and can be plotted on the price chart // along with the security's price. // //go:generate callbackgen -type FisherTransform type FisherTransform struct { types.SeriesBase types.IntervalWindow prices *types.Queue Values floats.Slice UpdateCallbacks []func(value float64) } func (inc *FisherTransform) Clone() types.UpdatableSeriesExtend { out := FisherTransform{ IntervalWindow: inc.IntervalWindow, prices: inc.prices.Clone(), Values: inc.Values[:], } out.SeriesBase.Series = &out return &out } func (inc *FisherTransform) Update(value float64) { if inc.prices == nil { inc.prices = types.NewQueue(inc.Window) inc.SeriesBase.Series = inc } inc.prices.Update(value) highest := inc.prices.Highest(inc.Window) lowest := inc.prices.Lowest(inc.Window) if highest == lowest { inc.Values.Update(0) return } x := 2*((value-lowest)/(highest-lowest)) - 1 if x == 1 { x = 0.9999 } else if x == -1 { x = -0.9999 } inc.Values.Update(0.5 * math.Log((1+x)/(1-x))) if len(inc.Values) > MaxNumOfEWMA { inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:] } } func (inc *FisherTransform) Last(i int) float64 { if inc.Values == nil { return 0.0 } return inc.Values.Last(i) } func (inc *FisherTransform) Index(i int) float64 { return inc.Last(i) } func (inc *FisherTransform) Length() int { if inc.Values == nil { return 0 } return inc.Values.Length() }