什么是费舍尔变换指标？

What is the Fisher Transform Index?

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The Fisher Transform indicator is a technical indicator designed to transform prices into a Gaussian-normal distribution. It highlights when prices experience extreme moves and helps identify turning points in asset prices based on recent price conditions. This indicator can also be used to show trends and isolate price movements within a trend. The Fisher Transform Index was created by John F. Ehlers.

Key Points

• The Fisher Transform indicator makes turning points in prices clearer by normalizing asset prices.
• The indicator's formula is usually applied to price, but can also be used for other indicators.
• Some traders look for extreme readings to mark potential price reversal areas, while others focus on directional changes on the Fisher Transform indicator.
• Asset prices do not follow a normal distribution, so attempts to normalize prices through indicators may not always provide reliable signals.

The formula and calculation method of Fisher transform index

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Now that you understand the formula, you can calculate the Fisher Transform Index by following these steps:

Understand the Fisher Transform Index

As mentioned above, the Fisher Transform indicator is an indicator used in technical analysis. It was developed by author, trader and engineer John F. Ehlers. Ehlers began trading in the mid-1970s and created several indicators that are still used by traders today.

The Fisher Transform indicator enables traders to create a Gaussian normal distribution. It transforms data such as market prices that are often not normally distributed. Essentially, this transformation makes extreme moves relatively rare, helping to better identify price reversals on the chart.

This technical indicator is commonly used by traders looking for changes and trends in asset prices. More specifically, traders are generally more likely to look for leading signals than lagging indicators. Using the Fisher Transform indicator can help traders understand asset price changes and market conditions.

How to apply the Fisher Transform indicator to trading

The Fisher Transform indicator is unbounded, which means extreme values can persist for a long time. Extreme values ​​are based on the asset's historical readings. For some assets, a high reading might be seven or eight, while a low reading might be -4. These values ​​may vary for other assets.

Extreme readings indicate the possibility of a reversal. Confirmation should be made when the indicator changes direction. For example, when an indicator reaches extremely high levels and then shows a strong price increase followed by a downward turn, the asset price may be falling (or has already begun to fall).

Fisher Transform indicators are usually accompanied by signal lines. This is a moving average of indicator values, so it fluctuates slightly slower than the Fisher Transform Line. Some traders use it as a trading signal when the indicator crosses the trigger line. For example, when it falls below the signal line at an extreme high, it may serve as a signal to sell a current long position.

Like many indicators, the Fisher Transform Indicator provides a large number of trading signals, many of which do not have profit potential. Some traders prefer to use this indicator in conjunction with trend analysis. For example, instead of being used as a short sell signal, it can be used for buy and sell signals when prices rise. In a downtrend, it can be used for short selling signals and advice on when to close a position.

Important: The Fisher Transform can also be applied to other technical indicators such as the Relative Strength Index (RSI) or the Moving Average Convergence/Divergence (MACD).

Comparison of Fisher Transform Indicator and Bollinger Bands

These two indicators look very different on the chart, but are both based on the distribution of asset prices.

Bollinger Bands uses the normal distribution because it uses standard deviation to show when prices are likely to fall outside of a conventional range. The Fisher transform uses Gaussian normal distribution.

The Fisher Transform is shown as a separate indicator on the chart, while the Bollinger Bands are overlaid above the price.

Limitations of Fisher Transform Index

Although the Fisher Transform indicator is a commonly used tool by technical analysts, there are some drawbacks to its use. For example:

• Although its purpose is to make turning points easier to identify, it can be very "noisy" at certain times. Extreme readings are not always accompanied by price reversals. Sometimes prices will move sideways or even reverse only slightly.
• Determining what an extreme reading is is also difficult because these levels fluctuate over time. Four may be considered a high level for many years, but readings of eight may start to appear more frequently.
• Observation of changes in all directions of the Fisher Transform indicator helps to detect short-term price direction changes. However, signals may come too late to profit from, as many price movements may be short-lived.
• Asset prices do not follow a normal distribution, so attempts to normalize prices through indicators may be inherently flawed and may not produce reliable signals.

The difference between Fisher Transform indicator and moving average convergence/divergence

Fisher Transform Indicator and Moving Average Convergence/Divergence are two different technical analysis indicators. Both tools provide traders with important information about trend signals. The Fisher Transform indicator normalizes asset prices through transformations, while the MACD relies on moving averages and can be applied to trading strategies involving short-term trends. The Fisher Transform indicator is generally considered more accurate because it provides a clearer picture of market direction.

What is technical analysis?

Technical analysis is a trading strategy or discipline that uses past performance and data to find market opportunities. Traders analyze asset prices, implied volatility, and trading volume to predict future performance. This data is used to calculate various technical indicators, which are then plotted on charts and graphs to help traders determine entry and exit points.

What are technical indicators?

Technical indicators are signals used by traders in technical analysis. It relies on key asset data - namely historical prices and trading volumes. Technical indicators are often used to analyze short-term trends and are also useful for long-term traders who wish to identify entry and exit points. There are many types of technical indicators, which can usually be divided into two main categories: overlay indicators and oscillator indicators. Examples include the Fisher Transform indicator, moving averages, relative strength index, and moving average convergence/divergence.

Summary

Indicators help technical traders find opportunities in the market. The Fisher Transform Indicator is one of these tools. The indicator constructs a Gaussian normal distribution by transforming prices. Its advantage lies in the ability to spot trends and identify price movements within trends. Traders should keep in mind that although the Fisher Transform Indicator is considered a reliable tool, it should still be used in conjunction with other indicators to provide a more accurate complete picture of the market, thereby reducing the risk of potential losses.

References

[1] Quantified Strategies. "John Ehlers Trading Strategy: The Instantaneous Trendline with Backtest."

About TheQuantHackers

TheQuantHackers is a cutting-edge community composed of a group of people from the world's top universities and quantitative finance practitioners, dedicated to exploring the infinite possibilities in the fields of artificial intelligence (AI) and quantification (Quant). Our team members come from world-renowned universities such as the University of Cambridge, Oxford University, Harvard University, ETH Zurich, Peking University, and the University of Science and Technology of China. Our external consultants come from first-class companies such as Microsoft, HSBC, Citadel, Man Group, Citi, Jump Trading, and top domestic private equity companies.$\begin{aligned} &\text{费舍尔变换} = \frac{1}{2}*\ln \left( \frac{1+X}{1-X} \right)\\ &\textbf{其中:}\\ &\ln \text{ 为自然对数}\\ &X = \text{价格转化为-1到1之间的水平}\\ \end{aligned}$

现在你了解公式了，可以按照以下步骤计算费舍尔变换指标：

理解费舍尔变换指标

如上所述，费舍尔变换指标是技术分析中使用的一种指标。它由作者、交易者和工程师约翰·F·埃勒斯开发。埃勒斯在1970年代中期开始从事交易，并创立了今天仍被交易者使用的多个指标。

费舍尔变换指标使交易者能够创建高斯正态分布。它将市场价格等通常不呈正态分布的数据进行转换。本质上，这种转化使得极端波动相对稀有，帮助更好地识别图表上的价格反转。

该技术指标通常被寻求资产价格变化和趋势的交易者使用。更具体而言，交易者通常更倾向于寻找领先信号，而非滞后指标。使用费舍尔变换指标可以帮助交易者理解资产价格的变动及市场状况。

如何将费舍尔变换指标应用于交易

费舍尔变换指标是无界的，这意味极端值可能持续很长时间。极端值基于资产的历史读数。对于某些资产，高读数可能为七或八，而低读数可能为-4。这些值对于其他资产可能会有所不同。

极端读数表示反转的可能性。在指标改变方向时应进行确认。例如，当指标在达到极高水平后出现强劲的价格上涨并随之向下拐头时，资产价格可能会下跌（或已经开始下跌）。

费舍尔变换指标通常附有信号线。这是指标值的移动平均线，因此其波动速度相较于费舍尔变换线稍慢。一些交易者在指标穿越触发线时将其用作交易信号。例如，当其在极高点下跌到信号线以下时，可能作为卖出当前多头仓位的信号。

与许多指标一样，费舍尔变换指标会提供大量交易信号，其中很多并不具备盈利潜力。一些交易者倾向于将该指标与趋势分析结合使用。例如，当价格上涨时，可以用于买入和卖出信号，而不是用作卖空信号。在下行趋势中，可以用于卖空信号以及何时平仓的建议。

重要: 费舍尔变换还可应用于其他技术指标，如相对强弱指数（RSI）或移动平均收敛/发散（MACD）。

费舍尔变换指标与布林带的对比

这两种指标在图表上看起来截然不同，但均基于资产价格的分布。

布林带使用正态分布，因为它利用标准差来展示价格何时可能超出常规范围。而费舍尔变换则采用高斯正态分布。

费舍尔变换显示为图表上的单独指标，而布林带则覆盖在价格上方。

费舍尔变换指标的局限性

尽管费舍尔变换指标是技术分析师常用的工具，但其使用也存在一些缺陷。例如：

• 尽管其目的是让转折点更易识别，但在某些时候它可能非常“嘈杂”。极端读数并不总是伴随价格反转。有时价格会横盘震荡，甚至仅小幅反转。
• 确定什么是极端读数也很困难，因为这些水平随着时间变化而波动。四可能在多年内被视为高水平，但八的读数可能会开始频繁出现。
• 费舍尔变换指标所有方向变化的观察有助于发现短期价格方向变化。然而，信号可能来得太晚而无从获利，因为许多价格波动可能是短暂的。
• 资产价格并不遵循正态分布，因此通过指标进行价格规范化的尝试可能存在固有缺陷，可能无法产生可靠的信号。

费舍尔变换指标与移动平均收敛/发散的区别

费舍尔变换指标与移动平均收敛/发散是两种不同的技术分析指标。这两种工具都为交易者提供有关趋势信号的重要信息。费舍尔变换指标通过转化规范化资产价格，而MACD依赖于移动平均，并可应用于涉及短期趋势的交易策略。费舍尔变换指标一般被认为更为准确，因为它提供了市场走向的更清晰图景。

什么是技术分析？

技术分析是一种交易策略或学科，利用过去的表现和数据寻找市场机会。交易者分析资产价格、隐含波动率和交易量，以预测未来表现。这些数据用于计算各类技术指标，随后绘制在图表和图形上，以帮助交易者确定进出点。

什么是技术指标？

技术指标是交易者在技术分析中使用的信号。它依赖于关键的资产数据即历史价格和交易量。技术指标通常用于分析短期走势，也对希望识别进出点的长期交易者非常有用。技术指标种类繁多，通常可分为两大类：叠加指标和振荡指标。例子包括费舍尔变换指标、移动平均、相对强弱指数及移动平均收敛/发散等。

总结

指标帮助技术交易者在市场中寻找机会。费舍尔变换指标正是这些工具之一。该指标通过转换价格来构建高斯正态分布。其优势在于能够发现趋势并识别趋势内的价格波动。交易者应牢记，尽管费舍尔变换指标被视为可靠工具，但仍应与其他指标结合使用，以提供市场更准确的全貌，从而降低潜在损失的风险。

参考文献

[1] Quantified Strategies. "John Ehlers Trading Strategy: The Instantaneous Trendline with Backtest."

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