Fisher Transform Cross-strategi

// ============================================================
// Fisher Transform Cross
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 3 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
fisherPeriod = 13         // lookback for the Fisher Transform
upperLevel = 5            // sell short when Fisher drops back below this
lowerLevel = -5           // buy when Fisher climbs back above this
valueSmoothing = 0.67     // weight of the previous normalised value
clampTrigger = 0.99       // normalised value beyond this is clamped
clampValue = 0.999        // clamp level, keeps the log finite

// --- Indicators ---
// Fisher Transform of the typical price. fisherValue and fisherLine carry over from the previous bar.
IF BarIndex < fisherPeriod THEN
  fisherValue = 0
  fisherLine = 0
ELSE
  highestPrice = Highest[fisherPeriod](TypicalPrice)
  lowestPrice = Lowest[fisherPeriod](TypicalPrice)
  IF highestPrice > lowestPrice THEN
    fisherValue = ((TypicalPrice - lowestPrice) / (highestPrice - lowestPrice) - 0.5) + valueSmoothing * fisherValue
  ENDIF
  IF fisherValue > clampTrigger THEN
    fisherValue = clampValue
  ENDIF
  IF fisherValue < (0 - clampTrigger) THEN
    fisherValue = 0 - clampValue
  ENDIF
  fisherLine = 0.5 * LOG((1 + fisherValue) / (1 - fisherValue)) + 0.5 * fisherLine
ENDIF