Ehlers Fisher Transform

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

// C# usage syntax
IReadOnlyList<FisherTransformResult> results =
  bars.ToFisherTransform(lookbackPeriods);

Parameters

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

Historical price bars requirements

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

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

Response

IReadOnlyList<FisherTransformResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• 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

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Fisher	double	Fisher Transform
Trigger	double	FT offset by one period

Utilities

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

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

bars.ToFisherTransform(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 = bars
    .Use(CandlePart.HL2)
    .ToFisherTransform(..);

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

// example
var results = bars
    .ToFisherTransform(..)
    .ToRsi(..);

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

FisherTransformList fisherList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  fisherList.Add(bar);
}

// based on `ICollection<FisherTransformResult>`
IReadOnlyList<FisherTransformResult> results = fisherList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
FisherTransformHub observer = barHub.ToFisherTransformHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<FisherTransformResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.