# Copyright 2007, 2009, 2010, 2011 Kevin Ryde # This file is part of Chart. # # Chart is free software; you can redistribute it and/or modify it under the # terms of the GNU General Public License as published by the Free Software # Foundation; either version 3, or (at your option) any later version. # # Chart is distributed in the hope that it will be useful, but WITHOUT ANY # WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS # FOR A PARTICULAR PURPOSE. See the GNU General Public License for more # details. # # You should have received a copy of the GNU General Public License along # with Chart. If not, see . package App::Chart::Series::Derived::Fisher; use 5.010; use strict; use warnings; use Carp; use List::Util qw(min max); use Locale::TextDomain ('App-Chart'); use base 'App::Chart::Series::Indicator'; use App::Chart::Series::Derived::EMA; # http://www.mesasoftware.com/technicalpapers.htm # http://www.mesasoftware.com/Papers/USING%20THE%20FISHER%20TRANSFORM.pdf # Paper by John Elhers. # # http://www.linnsoft.com/tour/techind/fish.htm # Sample NYSE QQQ, August 2002. sub longname { __('Fisher Transform') } sub shortname { __('Fisher') } sub manual { __p('manual-node','Fisher Transform') } use constant { type => 'indicator', units => 'Fisher', hlines => [ 0 ], parameter_info => [ { name => __('Days'), key => 'fisher_days', type => 'integer', minimum => 1, default => 10 }, ], }; sub new { my ($class, $parent, $N) = @_; $N //= parameter_info()->[0]->{'default'}; ($N > 0) || croak "Fisher bad N: $N"; return $class->SUPER::new (parent => $parent, N => $N, parameters => [ $N ], arrays => { values => [] }, array_aliases => { }); } # val-smooth is alpha=0.33, which is 5 days # fish-smooth is alpha=0.5, which is 3 days # use constant _warmup_ema => (App::Chart::Series::Derived::EMA->warmup_count (5) + App::Chart::Series::Derived::EMA->warmup_count (3)); sub warmup_count { my ($class_or_self, $N) = @_; return $N + _warmup_ema - 1; } sub fill_part { my ($self, $lo, $hi) = @_; my $parent = $self->{'parent'}; my $N = $self->{'N'}; my $start = $parent->find_before ($lo, $self->warmup_count($N)); $parent->fill ($start, $hi); my $p = $parent->values_array; my $s = $self->values_array; $hi = min ($hi, $#$p); if ($#$s < $hi) { $#$s = $hi; } # pre-extend my $ema5_proc = App::Chart::Series::Derived::EMA->proc(5); my $ema3_proc = App::Chart::Series::Derived::EMA->proc(3); my @array; foreach my $i ($start .. $hi) { my $value = $p->[$i] // next; unshift @array, $value; if (@array > $N) { pop @array; } my $l = min (@array); my $h = max (@array); my $f = $h - $l; if ($f != 0) { $f = 2 * ($value - $l) / $f - 1; # raw = -1 to +1 $f = $ema5_proc->($f); $f = max (-0.999, min (0.999, $f)); # avoid full +/-1 infinities $f = log ((1 + $f) / (1 - $f)); $f = $ema3_proc->($f); } if ($i >= $lo) { $s->[$i] = $f; } } } 1; __END__ # =head1 NAME # # App::Chart::Series::Derived::Fisher -- Fisher transformed range # # =head1 SYNOPSIS # # my $series = $parent->Fisher($N); # # =head1 DESCRIPTION # # ... # # =head1 SEE ALSO # # L, L # # =cut