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Smoothed Stochastic Invers Fisher Transform

The Smoothed Stochastic Invers Fisher Transform uses a rainbow smoothed closing price for creating a slow stochastic. Next, this stochastic is transformed to a fast switching high to low and low to high value by an invers Fisher Transform function. This creates clear entry and exit points based on the slow stochastic.

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You can use the following NinjaTrader formula to calculate
this Smoothed Stochastic Invers Fisher Transform(SVEStochIFT):

// SVEStochIFT - Copyright (C) 2011, Sylvain Vervoort <Stocata.org>.
// Stocata.org reserves the right to modify this NinjaScript
// component with each release.
// Release V1.0 11/2011, V1.1 01/2013

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// Smoothed price stochastic Invers Fisher Transform
/// </summary>
[Description("Smoothed price stochastic Invers Fisher Transform")]
public class SVEStochIFT : Indicator
{
#region Variables

    private int stochPeriod   = 30; // Default setting for StochPeriod
    private int stochSlow     = 5; // Default setting for StochSlow

    private double            RBW;
    private DataSeries      RBWSeries;
    private DataSeries      MA;
    private double            x;

#endregion

/// <summary>
/// This method is used to configure the indicator and is called once
/// before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
   Add(new Plot(Color.FromKnownColor(KnownColor.Red), PlotStyle.Line, "IFTStoch"));
   Add(new Plot(Color.FromKnownColor(KnownColor.Blue), PlotStyle.Line, "RBWStoch"));
   Add(new Line(Color.Gray,  10, "LowCross"));
   Add(new Line(Color.Gray,  90, "HighCross"));
   Lines[0].Pen.DashStyle = DashStyle.Dot;
   Lines[1].Pen.DashStyle = DashStyle.Dot;
   Overlay      = false;
   MA             = new DataSeries (this);
   RBWSeries  = new DataSeries (this);
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
       MA.Set(WMA(2)[0]);                  RBW  = 5 * MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + 4 * MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + 3 * MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + 2 * MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBW  = RBW + MA[0];
       MA.Set(WMA(MA, 2)[0]);            RBWSeries.Set((RBW + MA[0]) / 20);
       //Sets final value in series to be used as input for Stochastics
                          
       RBWStoch.Set(Stochastics(RBWSeries, 1, StochPeriod, StochSlow)[0]);

       x = .1 * (RBWStoch[0] - 50);

       IFTStoch.Set(((Math.Exp(2 * x) - 1) / (Math.Exp(2 * x) + 1) + 1) * 50);
}

#region Properties
[Browsable(false)]   // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()]        // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public DataSeries IFTStoch
{
    get { return Values[0]; }
}

[Browsable(false)]   // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()]        // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public DataSeries RBWStoch
{
    get { return Values[1]; }
}

[Description("Number of bars used in the Stochastics calculation")]
[GridCategory("Parameters")]
[Gui.Design.DisplayName("1. Stochastic Period")]
public int StochPeriod
{
    get { return stochPeriod; }
    set { stochPeriod = Math.Max(1, value); }
}

[Description("Stochastic Slowing K-value")]
[GridCategory("Parameters")]
[Gui.Design.DisplayName("2. Slowing K-value")]
public int StochSlow
{
    get { return stochSlow; }
    set { stochSlow = Math.Max(1, value); }
}
#endregion
}
}

 

Download SVEStochIFT

 

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The blue indicator in the lower window is the 30,5 stochastic based on a smoothed rainbow value of the closing prices. The red indicator is the result of the invers Fisher Transform function. Basically you shoul buy when this indicator crosses above 10 and sell when it moves below 90.

 

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