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
luxrun grazie Ivàn!
lee Thank you. Is it possible to convert this to a screener that displays instruments when bulli...
Iván //---------------------------------------------------------------// //PRC_Pollan Indicator /...
Faisalx ChatGPT Hola Iván. Gracias por tu excelente trabajo. Te agradecería si pudieras echarle un...
Iván ok, perfecto! me pongo con ello
Iván Allora crei un nuovo post. Lo aspetterò.
Stenozar Ciao Ivan, ho inserito il post con la richiesta di traduzione. Se puoi vedere, grazie!
Iván perfect!
Iván
7 months ago
Iván Hi, Sorry, but what do you mean?
luiskohnen Hola, queria saber si el indicador repinta, porque a mi me parecio que si. Saludos y gracias...
Diamant Bonsoir, L'un d'entre vous peut-il me donner les définissions de LL-HH-LH et HL. Merci d'av...
Bernard13 (Je réécris mon commentaire -français- en français car certains mots ne correspondaient pas ...
Iván 1000 indicateurs !!! brutaux
Lean Me parece muy buen indicador, y se complementa muy bien en mi sistema, ¿podrías crear un scr...
Iván Gracias! Para el screener sólo tienes que copiar el indicador y poner como condición de búsq...
Lean Muchas gracias Iván, ya lo he podido crear.
Bateson
12 months ago
Matriciel Very nice job ! Is it possible to do the opposite because what interests me is to have the ...
YvesRobert Hi Matriciel, how can we do this, because stochastic is limited between 0 and 100 but price ...
Traderfox06 Dear zeiiermantrading, I really like your approach combining adaptive averages with MACD in...
jacquesgermain Hello IASD it's normal , when this occurs, uncheck RSI and MFI line and click then the MAC...
emiliobercial Thank you very much for sharing!
Carlose estoy de acuerdo con IASD Esta muy bien el MAD y el indicador en el precio no se ven bien...
bousalahane merci pour le partage de cet l'indicateur, j'ai rajouté un autre indicateur pour faire une s...
joaoarcher Hi, thank you for the this. Is it possible to create a screener from this indicator, so that...
ThaNoizy Yes, you cannot use CFDs on IG for Weekly strats you need to use their Index Futures, they h...
KumoNoJuzza Thanks. I did not know IG had Futures. I am always missing an info or a detail. I used to th...
joaoarcher Hi, thank you for the this. Is it possible to create a screener from this indicator, so that...
Nicolas
2 years ago
3 RSI
3 RSI
2
Indicators
Violet Nicolas, you calculate iRSI, but don't use it. You show RSI in the returned values, which, a...
Nicolas Yes, that's an error. RSI instruction is set by default to 14 if you don't indicate it that'...
DELBERT Bonjour , Nicolas , je voudrais installer cet indicateur sur ma PRT , version 10.3 , mais je...
Nicolas En effet, il faut à minima une version 11. La 10.3 est tellement ancienne maintenant.. Je pe...
DELBERT Bonjour , Nicolas , merci pour ta réponse , je fais un essai et je verrais . Salutations .
Khaled Thank you Nicolas! Looks like TDI (Trader Dynamic Index). Interesting to give Exit Signal as...
Nicolas ColorBetween is an instruction added last year: https://www.prorealcode.com/documentation/co...
finplus Bonjour, serait-il possible de remplacer l'écart formé par les bandes de Bollinger par l'ATR...
Madrosat how do you use carnazzi filter in a strategy : smoothing , stop ,tendance
Bruno Carnazzi I have completely revised the mathematical foundations of this tool and offer you the finali...
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 ...

Top