Technical Studies Reference


Inverse Fisher Transform with RSI

The study calculates and displays an Inverse Fisher Transform of an RSI.

Let \(C\) be a random variable denoting the Close Price, and let the RSI Length and RSI MovAvg Length Inputs be denoted as \(n_{RSI}\) and \(n_{\overline{RSI}}\), respectively. The Moving Average used in computing \(RSI_t(C,n_{RSI})\) is determined by the RSI Internal MovAvg Type Input. We subject the RSI to the following transformation.

\(RSI^*_t(C,n_{RSI}) = \frac{1}{10}\left(RSI_t(C,n_{RSI}) - 50\right)\)

We denote the Weighted Moving Average of \(RSI^*_t(C,n_{RSI})\) as \(\overline{RSI^*}_t(C,n_{RSI},n_{\overline{RSI}})\), and we compute it as follows.

\(\overline{RSI^*}_t(C,n_{RSI},n_{\overline{RSI}}) = WMA_t\left(RSI^*(C,n_{RSI}), n_{\overline{RSI}}\right)\)

The Inverse Fisher Transform with RSI is at Index \(t\) is then given by \(IFT_t\left(\overline{RSI^*}(C,n_{RSI},n_{\overline{RSI}})\right)\). The explicit formula is given below. It is calculated for \(t \geq n_{RSI} + n_{\overline{RSI}}\).

\(\displaystyle{IFT_t\left(\overline{RSI^*}(C,n_{RSI},n_{\overline{RSI}})\right) = \frac{\exp\left(2\overline{RSI^*}(C,n_{RSI},n_{\overline{RSI}})\right) - 1}{\exp\left(2\overline{RSI^*}(C,n_{RSI},n_{\overline{RSI}})\right) + 1}}\)

Let the Line Value Input be denoted as \(l\). In addition to the graph of \(IFT_t\left(\overline{RSI^*}(C,n_{RSI},n_{\overline{RSI}})\right)\), this study displays horizontal lines at levels \(\pm l\).

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Inverse_Fisher_Transform_with_RSI.224.scss


*Last modified Thursday, 26th July, 2018.