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Worden Discussion Forum » Customer Training & Support » Ask a Trainer - TC2000 version 7 » Fisher Transform

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gabriel099
Posted : Sunday, December 25, 2011 11:20:02 AM
Registered User
Joined: 4/5/2010
Posts: 8
 I would like to know the formula you are using to calculate the fisher transform for 10 periods.

price = (high + low) / 2

                       price - Ndaylow
     raw = 2 *    ------------------          - 1      N=10
                       Ndayhigh - Ndaylow


smoothed = EMA[5] of raw


                                            1 + smoothed
     fisher = EMA[3] of log      ------------
                                             1 - smoothed


or                                                   1 + smoothed
     fisher = EMA[3] of  0.5 * log     ------------
                                                       1 - smoothed


Thank you
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Bruce_L
Posted : Monday, December 26, 2011 8:31:13 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

Please see Fisher Transform PCF.

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