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add generic fishers inverse transformation with smoothing

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This commit is contained in:
Janne Sinivirta 2018-02-14 10:17:43 +02:00
parent 178d1ed423
commit 340ab0214b
2 changed files with 16 additions and 3 deletions
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13
freqtrade/indicator_helpers.py
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@ -1,5 +1,7 @@
from math import exp, pi, sqrt, cos from math import exp, pi, sqrt, cos
import numpy
import talib as ta
from pandas import Series from pandas import Series
@ -25,3 +27,14 @@ def ehlers_super_smoother(series: Series, smoothing: float = 6):
coeff2 * filtered.iloc[i-1] + coeff3 * filtered.iloc[i-2] coeff2 * filtered.iloc[i-1] + coeff3 * filtered.iloc[i-2]
return filtered return filtered
def fishers_inverse(series: Series, smoothing: float = 0):
""" Does a smoothed fishers inverse transformation.
Can be used with any oscillator that goes from 0 to 100 like RSI or MFI """
v1 = 0.1 * (series - 50)
if smoothing > 0:
v2 = ta.WMA(v1.values, timeperiod=smoothing)
else:
v2 = v1
return (numpy.exp(2 * v2)-1) / (numpy.exp(2 * v2) + 1)

6
freqtrade/strategy/default_strategy.py
View File

@ -4,7 +4,7 @@ import talib.abstract as ta
from pandas import DataFrame from pandas import DataFrame
import freqtrade.vendor.qtpylib.indicators as qtpylib import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.strategy.interface import IStrategy from freqtrade.strategy.interface import IStrategy
from freqtrade.indicator_helpers import fishers_inverse
class_name = 'DefaultStrategy' class_name = 'DefaultStrategy'
@ -76,8 +76,8 @@ class DefaultStrategy(IStrategy):
dataframe['rsi'] = ta.RSI(dataframe) dataframe['rsi'] = ta.RSI(dataframe)
""" """
# Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy) # Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy)
rsi = 0.1 * (dataframe['rsi'] - 50) dataframe['fisher_rsi'] = fishers_inverse(dataframe['rsi'])
dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1)
# Inverse Fisher transform on RSI normalized, value [0.0, 100.0] (https://goo.gl/2JGGoy) # Inverse Fisher transform on RSI normalized, value [0.0, 100.0] (https://goo.gl/2JGGoy)
dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1) dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1)
# Stoch # Stoch