QuantitativeExhaustion

Multi-Functional Fisher Transform MTF with MACDL TRIGGER

What this indicator gives you is a true signal when price is exhausted and ready for a fast turnaround. Fisher Transform is set for multi-time frame and also allows the user to change the length. This way a user can compare two or more time spans and lengths to look for these MACDL divergent triggers after a Fisher exhaustion. With so many indicators, it's probably best to merge these indicators and change the Fisher and Trigger colors so you can still have a look at price action (remember to scale right after merger). I've noticed from time to time when you have Fisher 34 100 and 300 up and running on two different time frames such as 5 and 15 min charts, with MACDL triggers on the 100/300 or 34/100 you get a high probability trade trigger. However, there are rare exceptions such as when price moves in a parabolic state up or down for a long period where this indication does not work. Ideally this indicator works best in a sideways market or slow rising/descending moving market.



This indicator was worked on by Glaz, nmike and myself
LazyBear also introduced the MACDL indicator
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study(title="Fisher Transform MTF", shorttitle="Fisher MTF")
//Both fisher and macdl MTF
resCustom = input(title="Timeframe", type=resolution, defval="60" )
//--------macdl
src=close
shortLength = input(12, title="Fast Length")
longLength = input(26, title="Slow Length")
sigLength = input(9, title="Signal Length")
ma(s,l) => ema(s,l)
sema = ma( src, shortLength )
lema = ma( src, longLength )
i1 = sema + ma( src - sema, shortLength )
i2 = lema + ma( src - lema, longLength )
macdl = i1 - i2
macdl2 = security(tickerid, resCustom,macdl)
macd=sema-lema
//-------end

//---------fisher
len = input(34, minval=1, title="Fisher")
round_(val) => val > .99 ? .999 : val < -.99 ? -.999 : val
high_ = highest(hl2, len)
low_ = lowest(hl2, len)
value = round_(.66 * ((hl2 - low_) / max(high_ - low_, .001) - .5) + .67 * nz(value[1]))
fish1 = .5 * log((1 + value) / max(1 - value, .001)) + .5 * nz(fish1[1])
fish2 = security(tickerid, resCustom,fish1)
//------------end

sw1=iff(fish2<-6 and macdl2>macdl2[1],1,0)
sw2=iff(fish2>6 and macdl2<macdl2[1],-1,0)
final=sw1+sw2

swap=final==1 or final==-1?fuchsia:green
plot(fish2, color=swap, title="Fisher",style=histogram)
hline(0, color=orange)
Also notice the chart above, how we did not get a trigger 9/29 after a Fisher exhaustion. This is because MACDL did not diverge at the point of Fisher exhaustion. This is probably because the true reversal has not yet been discovered.
+4 Reply
alex.a QuantitativeExhaustion
2 years ago
which year 9/29?
+1 Reply
QuantitativeExhaustion PRO alex.a
2 years ago
It was this year
+3 Reply
snapshot


Here is a look after putting all together. Daily chart comparing weekly FT indicator and daily FT indicators.
+8 Reply
FOREXEL QuantitativeExhaustion
2 years ago
Works damn good!
+3 Reply
FOREXEL
2 years ago
Just what I need! thanks a ton for building and sharing!
+3 Reply
QuantitativeExhaustion PRO FOREXEL
2 years ago
I've seen this indicator on smaller time frames be predictive within incredibly odd circumstances. I was watching a relatively flat smaller scale and slow descending larger scale, and all of a sudden you see a Fisher spike with trigger one minute ahead of this enormous price move.
+5 Reply
QuantitativeExhaustion PRO FOREXEL
2 years ago
Furthermore any further advancement would be greatly appreciated.

Also I found it very strange that an inverted chart does not give you opposite indications. FT inverted and meshing with actual price action might hold the key to more serious predictive charting.
+6 Reply
ChartArt
2 years ago
Awesome collaboration unseen so far here on TradingView :)


"Furthermore any further advancement would be greatly appreciated."

I'd love to see two different moving averages (both? using either optionable wma or ema or double-ema or triple-ema) calculated on the Fisher Transform and added to the indicator. With background color highlights when these two moving averages based on Fisher Transform cross bearish above the zero line, or cross bullish below the zero line, or just simply cross bearish or bullish.
+4 Reply
coondawg71 PRO
2 years ago
LOVE Fisher, one of the best! Great utilization of a great tool! Nice work.
+4 Reply
accidentje
2 years ago
Thanks, JR!
+3 Reply
nmike MOD
2 years ago
Nice work JR and glad to be a part of it.
+5 Reply
snapshot


Good example on the daily chart of a Fisher Exhaustion Spike with MACDL divergent trigger. Had you been short or in Puts during this trend you got an excellent trigger to tell you to exit.
+8 Reply
QuantitativeExhaustion PRO QuantitativeExhaustion
2 years ago
snapshot


I've been an active follower of AMD stock and company for many years. As you can see in the chart the last two Weekly Fisher Exhaustion spikes picked out the bottom of AMD stock. If we we're to see a spike a again, It would put AMD stock shares below $1.00. This is a possibility if AMD decides to mothball all 28 nm technology and continue to concentrate develop 16/14 nm 10 nm APUs coming out in 2017.

AMD does have about a 2-3 year jump on Intel in developing heterogeneous Uniform Memory Access HUMA chips. Intel earlier this year, admits they mistakenly went in the wrong direction and now are also developing HUMA. Nvadia might be the biggest loser if AMD does strike it big in HUMA development on 16/14 nm chips, which would make Nvadia GPU stand alone units worthless.

AMD stock could break 1.95 in the next few months, which could happen if no new product announcements are made earlier next year. Expectations are high that AMD will push a last 28nm product line out, before TSCM is ready to manufacture 16nm chips later next year.

Semiconductor stocks as a whole could go further down, if manufactures delay roll out of these new chips. These smaller chips and more powerful chips are going to play a vital role in performance per watt and dollar. I do expect AMD to take the lead, taking market share from Intel, Nvadia and others in every area of computing. You're going to have to be patient while you wait to pick AMD stock and time those OTM call options. Don't fall for any PR or SA bloggers hype, what's going to drive AMD stock is the rollout of HUMA 16/14 nm chips, which probably isn't until early to mid 2016.
+9 Reply
snapshot


Still no signal on the daily chart. Weekly gave two signals, but without a daily trigger I'd hold off on calling a bottom yet.
+8 Reply
QuantitativeExhaustion PRO QuantitativeExhaustion
2 years ago
snapshot


Here is a look at 34, 100, 300. You've got two of three signals on daily. Might want to also look for 4h to see if there is even better odds at calling this bottom.
+8 Reply
guidoisot
2 years ago
Would you please help (actually I should say do, because "very unfortunately" I do not know how to approach the programming language) to further elaborate this very interesting indicator that you created into:
1. an histogram reporting the difference between two Fisher MTF ( in the attached 5 min chart I am for ex using 15 and 30 min for the 2 indicators). By looking at the chart behavior: highest difference between the two indicators seem to suggest probability of a reversal.
2. Another aspect to look at could be: monitor/highlight divergences when they are occurring nearly at the same time on both indicators, both timeframes.
3. Finally another last aspect possibly worthwhile to look at is: expect price trending down, when the fast indicator makes a lower low while being below the slow indicator, and vice versa.
I am not sure whether it would be possible to show in one or more indicators the above three points. However, ideally, it would be great to have this one, or three, indicator(s) in an universal format, so that their input can be not only the Fisher MTF considered here, but, alternatively, also any other indicator one could possibly wish to try to compare on Multiple Time Frames (such as, for es. SMA, EMA, other averages, McGinley, etc.. and maybe also RSI, KVO )
Thank you.
GT
snapshot

+3 Reply
AB-Trading PRO
8 months ago
Hi guys,
First let me tell you that this is great. I do agree that using 2 TF helps to have the timing right. I do add stochastic on top of it to get in at the right time. I'm trying to run some analysis. I was wondering how I could get these numbers in Excel? Would you be able to share the calculation process?

The general idea is to run a Long/Short strategy with a certain % of Oversold / Overbought stocks in a given index.

Is someone able to help ?
Reply
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