Fisher Transform - Indicator

Praveen Baratam

Are there any plans to implement Ehler's Fisher Transform in Backtrader? It would be great to have it as part of the standard repertoire of indicators than many reinventing the wheel all over again.

backtrader

Not at the moment

Praveen Baratam

Can you give me some pointers to implement it?

backtrader

Sorry but there aren't many free resources lately.

Praveen Baratam

I have written some code but it is not working. I believe I am missing something.

import backtrader as bt
import math

__all__ = ['Fisher']


class Fisher(bt.Indicator):

    lines = ('h', 'l', 'scaled','Fx',)
    params = (('period', 20),)
    _alpha = 0.33

    def __init__(self):
        self.addminperiod(self.params.period)

        self.l.h = bt.indicators.Highest(self.data.close, self.p.period)
        self.l.l = bt.indicators.Lowest(self.data.close, self.p.period)

    def next(self):

        d = self.data.close[0]

        h = self.l.h[0]
        l = self.l.l[0]

        scaled = self.l.scaled
        Fx = self.l.Fx

        scaled[0] = self._alpha * 2 * ((d - l) / (h - l) - .5) + (1-self._alpha) * scaled[1]

        if scaled[0] > 0.9999:
            scaled[0] = 1
        elif scaled[0] < -0.9999:
            scaled[0] = -1

        Fx[0] = .5 * math.log((1 + scaled[0]) / (1 - scaled[0])) + .5 * Fx[1]