Ehlers Inverse Fisher Transform of RSI or RSX

v10.3
Ehlers Inverse Fisher Transform of RSI or RSX

Published in the Technical Analysis of Stocks and Commodities magazine in the May 2004 issue, the inverse fisher transform is an indicator created by John Ehlers. The Inverse Fisher Transform was developed to help traders and investors with their timing decisions to buy and sell securities. It does this by altering the probability distribution function (PDF) of any indicator and makes it appear smoother.

This version include the inverse fisher transform calculation method applied on the RSI (upper oscillator in the screenshot) or the RSX (lower oscillator in the attached picture).

Settings explained:

  • RsiPeriod: Period of RSI or RSX oscillator
  • RsiMethod: 0=RSI 1=RSX
  • SmoothPeriod: Smoothing period applied on the oscillator with a linear weighted average
  • MinMaxPeriod: period of highest high / lowest low to calculate the dynamic overbough/oversold levels
  • LevelUp: percentage of the overbought upper level
  • LevelDown: percentage of the oversold lower level

 

Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

PRC is also on YouTube, subscribe to our channel for exclusive content and tutorials

  1. Bard • 08/20/2018 #

    Great job and thanks very much for posting this @nicolas.
    I’ve backtested both these RSI and the RSX’s 20 period, 20/80 cross overs/unders using the Kase Dev Stop as an Exit on the Daily £/Yen, FTSE and Dow (DJI) (between Aug. 2013 and Sept. 2018) and it appears that although the profits are less with the RSX (versus the RSI) it produces sensible drawdowns in the 25-30% range for the £/Yen and FTSE… but for some reason and despite using all the Dev Stops exits from 1 to 6 std deviations for the Dow, the Dow just isn’t profitable. It’s only ever profitable on the cross over of the mid line using Dev Stop 1.0 but that has a very high drawdown… which got me thinking about the probability of these bigger market moves as I noticed that your Ehler’s Rocket RSI code: https://www.prorealcode.com/prorealtime-indicators/rocketrsi-john-ehlers had scaled/bounded the oscillator’s output between +/-3 standard deviations. Can that be done here?

    If 3 std devs is -3/+3 = 0.999 then how would you denote a range output of between -6+6 std devs?

    I have looked at trying to modify this code here for the last hour without success, is it possible to do? This way gives us a different perspective to judge how large a specific market move has been and how likely and maybe it’ll give me some insight as to why this indicator works well on the £/Yen and FTSE but not the Dow?

    Cheers
    Bard

    • Nicolas • 08/20/2018 #

      So you want to bound this oscillator with a scale made of std devs but of price? not from the oscillator itself?

  2. Bebbo • 08/20/2018 #

    Grazie del prezioso contributo Nicolas,
    scusa la mia inesperienza, sono alle prime armi e sto imparando.

    Volevo farti una domanda sull’argomento e prendo a riferimento l’ “Inverse Fisher Transform applicato al RSI” (pagina 64, probacktest_c1504281788c.pdf).
    Ho fatto delle prove “daily” su EUR MXN ma i segnali (ingresso, uscita, long e short) sembrano che vengano ricalcolati a posteriori a seconda della data finale di simulazione.
    Non ho quindi dei segnali validi in tempo reale, tipo il sistema ZIG ZAG.
    Solo allontanandomi di qualche giorno dal segnale che appare sul grafico quest’ultimo si fissa su una data certa, quando ormai non serve più.
    Posso inviare un immagine se non sono stato chiaro.

    Grazie ancora della tua cortesia

    https://ibb.co/kcT8Xf

    • Nicolas • 08/20/2018 #

      To avoid recalculation, you should use the one from this post.

  3. Bebbo • 08/20/2018 #

    Ok Grazie Nicolas.

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar
Related users ' posts
Madrosat how do you use carnazzi filter in a strategy : smoothing , stop ,tendance
Bruno Carnazzi Il me semble que la fonction "floor" n'est disponible qu'avec PRT11, à vérifier
DELBERT Bonjour , merci pour votre réponse , je m'excuse je suis avec PRT v10.3 donc c'est indicateu...
Nicolas c'est juste, c'est une instruction très récente.
RubberToe Is there something we are missing here, I just get the same curved line as well...
Khaled @Nicolas, Hi Nicolas, I've downloaded the itf and it doesn't display as an Oscillator, it"s ...
sal157011 I think the problem here is that you must feed the trigonometric functions cos and sin with ...
AntoGH Bonjour peut-on backtester cela ? Et si vous l'avez fait pourriez vous nous donner le code.....
Nicolas désolé c'est un oubli de ma part, tu peux supprimer cette ligne, elle n'est plus utile dans ...
DELBERT Bonjour , Nicolas , merci pour ta réponse , je suis en effet avec PRT 10.3 , et j'ai bidouil...
supertiti https://zupimages.net/viewer.php?id=20/50/2e3v.jpg
volanirina Bonjour Je souhaite l'avoir sur l'indicateur MT4 si possible s'il vous plait. car je l'ai fa...
Nicolas ProRealCode est un site dédié à l'utilisation de la plateforme de trading ProRealTime: https...
Nicolas Merci d'ouvrir un sujet dans le forum des screeners en respectant les règles de publication ...
Pensera Bravo Nicolas ! Tu es en quelque sorte l’inventeur de Metascore…(oups je viens de lire jusqu...
Nicolas Dans un but d'investissement pure, et non spéculatif.
DIOS Bonjour Nicolas, comment coder un indicateur de rsi de Divergence? Merci pour ta réponse
Nicolas En apprenant la programmation :) Plus sérieusement, il y a quantité d'exemples dans la libra...
DonTony Bonjour Nicolas, Très bel indicateur! Bravo!
Madrosat I Have not see a fully functioning automated strategy on your site?? Really have you???
juanj Hi Madrosat, why would it be on my site? I have developed it for my personal use and also to...
Madrosat ok I understood you are using prorealcode to hack the fish
imonix Have been trying this on demo since Monday before deciding whether to go live with it. Using...
Roberto Blázquez I'm sorry, I've tried it since November 2012 and it's bad results.
Actaru5 Caio Jan, con ognuno dei setting ottieni un indicatore visualizzato diverso, ma tutti sono ...
ggolfet Hi Actarus, what's the name of the histogram indicator below Apple's chart?
Actaru5 Flag ShowState in setting and show histogram
woktrade Superbe !
Vonasi An updated version with a bug fix can be found here: https://www.prorealcode.com/topic/dis...
snucke hey Vonasi is it possible you can help me get this indicator to show how much a market mo...
Nicolas Check your custom trading hours and use the default market ones.
fj_pastor Hello Nicolas, Thanks again for all your support. Finally I debugged the problem. The sim...
kallistos Hi Nicolas, Thank you very much indeed for this indicator (and all the others you are provi...
Vinks_o_7 Vonasi you're a beast !!! ;-)))
pableitor Amazing indicator , you are pushing PRT to the limit! But looking at the scatter its not c...
Zigo
3 years ago
groen200 Hi Zigo can you make backtest from this indicator
rosario Good evening I would like to understand why it doesn't work for me. Rosary
xar3 Hello, I would like to comment that observing the logic of the variables of the three indica...
Morrissey38 Muchísimas gracias Nicolás , muy amable.
Bruno Carnazzi extrèmement pertinent
Bruno Carnazzi Is that beatable ?

Top