// Fisher Transform // // fisher_transform - FT // // 0.5 * log(price_position / (1 - price_position)), normalized to range // // Inputs: 4 (OHLC) // Outputs: 2 (Transform, Trigger) // Constants: 1 (period) #include #include "ts.h" typedef struct { uint_t k; } ts_fisher_transform_params_t; ts_parameter_t const ts_fisher_transform_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_fisher_transform_params_t) }; uint_t ts_fisher_transform_offset( ts_constant_t const *c ) { ( void )c; return ( c ? ((ts_fisher_transform_params_t const *)c)->k - 1 : 0 ); } int ts_fisher_transform( fp_t * const *y, uint_t y_n, fp_t const * const *x, uint_t x_n, uint_t n, ts_constant_t const *c ) { TS_PROLOGUE( ts_fisher_transform_p ); if ( !c ) return -1; uint_t k = ((ts_fisher_transform_params_t const *)c)->k; if (k == 0 || n < k) return -1; for (uint_t i = k - 1; i < n; ++i) { /* Find high and low over window */ fp_t hh = x[1][i - k + 1]; fp_t ll = x[2][i - k + 1]; for (uint_t j = i - k + 2; j <= i; ++j) { if (x[1][j] > hh) hh = x[1][j]; if (x[2][j] < ll) ll = x[2][j]; } fp_t range = hh - ll; fp_t val = range != 0 ? (x[3][i] - ll) / range : 0.5; /* Clamp to [0.01, 0.99] to avoid log(0) */ if (val < 0.01) val = 0.01; if (val > 0.99) val = 0.99; fp_t fisher = 0.5 * log(val / (1.0 - val)); /* Smooth with previous value (skip first output) */ uint_t out_i = i; if (i > k - 1) { fisher = fisher + 0.5 * y[0][out_i - 1]; } y[0][out_i] = fisher; /* Trigger line = previous fisher */ if (out_i > 0) { y[1][out_i] = y[0][out_i - 1]; } else { y[1][out_i] = 0; } } return 0; }