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FisherTransform.mq4

Time: 2011-10-20 | Download file:FisherTransform.mq4

//+------------------------------------------------------------------+
//|                                              FisherTransform.mq4 |
//|                                                                  |
//| Fisher Transform                                                 |
//|                                                                  |
//| Algorithm taken from book                                        |
//|     "Cybernetics Analysis for Stock and Futures"                 |
//| by John F. Ehlers                                                |
//|                                                                  |
//|                                              contact@mqlsoft.com |
//|                                          http://www.mqlsoft.com/ |
//+------------------------------------------------------------------+
#property copyright "Coded by Witold Wozniak"
#property link      "www.mqlsoft.com"

#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 Red
#property indicator_color2 Blue

#property indicator_level1 0

double Fisher[];
double Trigger[];
double Value1[];

extern int Length = 10;
int buffers = 0;
int drawBegin = 0;

int init() {
    if (Length < 3) Length = 3;
    drawBegin = Length;      
    initBuffer(Fisher, "Fisher", DRAW_LINE);
    initBuffer(Trigger, "Trigger", DRAW_LINE);
    initBuffer(Value1);
    IndicatorBuffers(buffers);
    IndicatorShortName("Fisher Tranform [" + Length + "]");
    return (0);
}
  
int start() {
    if (Bars <= Length)  return (0);
    int countedBars = IndicatorCounted();
    if (countedBars < 0) return (-1);
    if (countedBars > 0) countedBars--;
    int s, limit = Bars - countedBars - 1;
    for (s = limit; s >= 0; s--) {
        double price = P(s);
        double MaxH = price;
        double MinL = price;
        for (int i = 0; i < Length; i++) {
            price = P(s + i);
            if (price > MaxH) MaxH = price;
            if (price < MinL) MinL = price;
        }        
        Value1[s] = 0.5 * 2.0 * ((P(s) - MinL) / (MaxH - MinL) - 0.5) + 0.5 * Value1[s + 1];
        if (Value1[s] > 0.9999) Value1[s] = 0.9999;
        if (Value1[s] < -0.9999) Value1[s] = -0.9999;
        Fisher[s] = 0.25 * MathLog((1 + Value1[s]) / (1 - Value1[s])) + 0.5 * Fisher[s + 1];
        Trigger[s] = Fisher[s + 1];
    }    
    return (0);
}

double P(int index) {
    return ((High[index] + Low[index]) / 2.0);
}

void initBuffer(double array[], string label = "", int type = DRAW_NONE, int arrow = 0, int style = EMPTY, int width = EMPTY, color clr = CLR_NONE) {
    SetIndexBuffer(buffers, array);
    SetIndexLabel(buffers, label);
    SetIndexEmptyValue(buffers, EMPTY_VALUE);
    SetIndexDrawBegin(buffers, drawBegin);
    SetIndexShift(buffers, 0);
    SetIndexStyle(buffers, type, style, width);
    SetIndexArrow(buffers, arrow);
    buffers++;
}

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