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// 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 <math.h>
#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 *)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 *)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;
}
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