fisher transform indicator and tests

README.md

@@ -80,7 +80,7 @@ help(pd.DataFrame().ta.log_return)
 
 # Technical Analysis Indicators (by Category)
 
-## _Momentum_ (18)
+## _Momentum_ (19)
 
 * _Awesome Oscillator_: **ao**
 * _Absolute Price Oscillator_: **apo**
@@ -88,6 +88,7 @@ help(pd.DataFrame().ta.log_return)
 * _Commodity Channel Index_: **cci**
 * _Chande Momentum Oscillator_: **cmo**
 * _Coppock Curve_: **coppock**
+* _Fisher Transform_: **fisher**
 * _KST Oscillator_: **kst**
 * _Moving Average Convergence Divergence_: **macd**
 * _Momentum_: **mom**

pandas_ta/__init__.py

@@ -25,6 +25,7 @@ from .momentum.bop import bop
 from .momentum.cci import cci
 from .momentum.cmo import cmo
 from .momentum.coppock import coppock
+from .momentum.fisher import fisher
 from .momentum.kst import kst
 from .momentum.macd import macd
 from .momentum.mom import mom

pandas_ta/core.py

@@ -2,7 +2,6 @@
 import time
 import pandas as pd
 from pandas.core.base import PandasObject 
-
 from .utils import *
 
 class BasePandasObject(PandasObject):
@@ -279,6 +278,14 @@ class AnalysisIndicators(BasePandasObject):
         self._append(result, **kwargs)
         return result
 
+    def fisher(self, high=None, low=None, length=None, offset=None, **kwargs):
+        high = self._get_column(high, 'high')
+        low = self._get_column(low, 'low')
+        from .momentum.fisher import fisher
+        result = fisher(high=high, low=low, length=length, offset=offset, **kwargs)
+        self._append(result, **kwargs)
+        return result
+
     def kst(self, close=None, roc1=None, roc2=None, roc3=None, roc4=None, sma1=None, sma2=None, sma3=None, sma4=None, signal=None, offset=None, **kwargs):
         close = self._get_column(close, 'close')
         from .momentum.kst import kst

pandas_ta/momentum/fisher.py

@@ -0,0 +1,78 @@
+# -*- coding: utf-8 -*-
+from numpy import log as nplog
+from numpy import NaN as npNaN
+from pandas import Series
+from ..overlap.hl2 import hl2
+from ..utils import get_offset, verify_series, zero
+
+def fisher(high, low, length=None, offset=None, **kwargs):
+    """Indicator: Fisher Transform (FISHT)"""
+    # Validate Arguments
+    high = verify_series(high)
+    low = verify_series(low)
+    length = int(length) if length and length > 0 else 5
+    offset = get_offset(offset)
+
+    # Calculate Result
+    m = high.size
+    hl2_ = hl2(high, low)
+    max_high = hl2_.rolling(length).max()
+    min_low = hl2_.rolling(length).min()
+    hl2_range = max_high - min_low
+    hl2_range[hl2_range < 1e-5] = 0.001
+    position = (hl2_ - min_low) / hl2_range
+    
+    v = 0
+    fish = 0
+    result = [npNaN for _ in range(0, length - 1)]
+    for i in range(length - 1, m):
+        v = 0.66 * (position[i] - 0.5) + 0.67 * v
+        if v >  0.99: v =  0.999
+        if v < -0.99: v = -0.999
+        fish = 0.5 * (fish + nplog((1 + v) / (1 - v)))
+        result.append(fish)
+        
+    fisher = Series(result)
+
+    # Offset
+    if offset != 0:
+        fisher = fisher.shift(offset)
+
+    # Handle fills
+    if 'fillna' in kwargs:
+        fisher.fillna(kwargs['fillna'], inplace=True)
+    if 'fill_method' in kwargs:
+        fisher.fillna(method=kwargs['fill_method'], inplace=True)
+
+    # Name and Categorize it
+    fisher.name = f"FISHERT_{length}"
+    fisher.category = 'momentum'
+
+    return fisher
+
+
+
+fisher.__doc__ = \
+"""Fisher Transform (FISHT)
+
+Attempts to identify trend reversals.
+
+Sources:
+    https://tulipindicators.org/fisher
+
+Calculation:
+    Default Inputs:
+        drift=1
+
+Args:
+    close (pd.Series): Series of 'close's
+    drift (int): The short period.  Default: 1
+    offset (int): How many periods to offset the result.  Default: 0
+
+Kwargs:
+    fillna (value, optional): pd.DataFrame.fillna(value)
+    fill_method (value, optional): Type of fill method
+
+Returns:
+    pd.Series: New feature generated.
+"""

setup.py

@@ -6,7 +6,7 @@ long_description = "An easy to use Python 3 Pandas Extension of Technical Analys
 setup(
     name = "pandas_ta",
     packages = ["pandas_ta"],
-    version = "0.1.27b",
+    version = "0.1.28b",
     description=long_description,
     long_description=long_description,
     author = "Kevin Johnson",

tests/test_indicator_momentum.py

@@ -104,6 +104,11 @@ class TestMomentum(TestCase):
         self.assertIsInstance(result, Series)
         self.assertEqual(result.name, 'COPC_11_14_10')
 
+    def test_fisher(self):
+        result = pandas_ta.fisher(self.high, self.low)
+        self.assertIsInstance(result, Series)
+        self.assertEqual(result.name, 'FISHERT_5')
+
     def test_kst(self):
         result = pandas_ta.kst(self.close)
         self.assertIsInstance(result, DataFrame)

tests/test_indicator_momentum_ext.py

@@ -53,6 +53,11 @@ class TestMomentumExtension(TestCase):
         self.assertIsInstance(self.data, DataFrame)
         self.assertEqual(self.data.columns[-1], 'COPC_11_14_10')
 
+    def test_fisher_ext(self):
+        self.data.ta.fisher(append=True)
+        self.assertIsInstance(self.data, DataFrame)
+        self.assertEqual(self.data.columns[-1], 'FISHERT_5')
+
     def test_kst_ext(self):
         self.data.ta.kst(append=True)
         self.assertIsInstance(self.data, DataFrame)