From 708c11ef4896ddaba928b1da5fdc9abde7aae3a1 Mon Sep 17 00:00:00 2001
From: Miha Kralj <31756078+mihakralj@users.noreply.github.com>
Date: Thu, 7 Nov 2024 18:48:52 -0800
Subject: [PATCH] Add Fisher Transform indicator

---

For more details, open the [Copilot Workspace session](https://copilot-workspace.githubnext.com/mihakralj/QuanTAlib?shareId=XXXX-XXXX-XXXX-XXXX).
---
 Tests/test_updates_oscillators.cs | 15 +++++
 lib/oscillators/Fisher.cs         | 95 +++++++++++++++++++++++++++++++
 lib/oscillators/_list.md          |  4 +-
 3 files changed, 112 insertions(+), 2 deletions(-)
 create mode 100644 lib/oscillators/Fisher.cs

diff --git a/Tests/test_updates_oscillators.cs b/Tests/test_updates_oscillators.cs
index c163081..d66ccf3 100644
--- a/Tests/test_updates_oscillators.cs
+++ b/Tests/test_updates_oscillators.cs
@@ -321,4 +321,19 @@ public void Dosc_Update()
 
         Assert.Equal(initialValue, finalValue, precision);
     }
+
+    [Fact]
+    public void Fisher_Update()
+    {
+        var indicator = new Fisher(period: 10);
+        double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
 }
diff --git a/lib/oscillators/Fisher.cs b/lib/oscillators/Fisher.cs
new file mode 100644
index 0000000..0866783
--- /dev/null
+++ b/lib/oscillators/Fisher.cs
@@ -0,0 +1,95 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// FISHER: Fisher Transform
+/// A technical indicator that converts prices into a Gaussian normal distribution.
+/// </summary>
+/// <remarks>
+/// The Fisher Transform calculation process:
+/// 1. Calculate the value of the price relative to its high-low range.
+/// 2. Apply the Fisher Transform formula to the normalized price.
+/// 3. Smooth the result using an exponential moving average.
+///
+/// Key characteristics:
+/// - Oscillates between -1 and 1
+/// - Emphasizes price reversals
+/// - Can be used to identify overbought and oversold conditions
+///
+/// Formula:
+/// Fisher Transform = 0.5 * log((1 + x) / (1 - x))
+/// where:
+/// x = 2 * ((price - min) / (max - min) - 0.5)
+///
+/// Sources:
+///     John F. Ehlers - "Rocket Science for Traders" (2001)
+///     https://www.investopedia.com/terms/f/fisher-transform.asp
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Fisher : AbstractBase
+{
+    private readonly int _period;
+    private readonly double[] _prices;
+    private double _prevFisher;
+    private double _prevValue;
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The calculation period (default: 10)</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Fisher(object source, int period = 10) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Fisher(int period = 10)
+    {
+        _period = period;
+        _prices = new double[period];
+        WarmupPeriod = period;
+        Name = "FISHER";
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private double NormalizePrice(double price, double min, double max)
+    {
+        return 2 * ((price - min) / (max - min) - 0.5);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private double FisherTransform(double value)
+    {
+        return 0.5 * System.Math.Log((1 + value) / (1 - value));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        var idx = _index % _period;
+        _prices[idx] = Input.Value;
+
+        if (_index < _period - 1) return double.NaN;
+
+        var min = _prices.Min();
+        var max = _prices.Max();
+        var normalizedPrice = NormalizePrice(Input.Value, min, max);
+        var fisherValue = FisherTransform(normalizedPrice);
+
+        var smoothedFisher = 0.5 * (fisherValue + _prevFisher);
+        _prevFisher = smoothedFisher;
+
+        return smoothedFisher;
+    }
+}
diff --git a/lib/oscillators/_list.md b/lib/oscillators/_list.md
index 72b74c8..445ab03 100644
--- a/lib/oscillators/_list.md
+++ b/lib/oscillators/_list.md
@@ -1,5 +1,5 @@
 # Oscillators indicators
-Done: 21, Todo: 8
+Done: 22, Todo: 7
 
 ✔️ AC - Acceleration Oscillator
 ✔️ AO - Awesome Oscillator
@@ -15,7 +15,7 @@ Done: 21, Todo: 8
 CTI - Ehler's Correlation Trend Indicator
 ✔️ DOSC - Derivative Oscillator
 EFI - Elder Ray's Force Index
-FISHER - Fisher Transform
+✔️ FISHER - Fisher Transform
 FOSC - Forecast Oscillator
 *GATOR - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)
 *KDJ - KDJ Indicator (K, D, J lines)