FisherHighPass
Fisher Transform applied to normalized HighPass filtered prices.
Usage
Use to isolate high-frequency momentum from the cyclical component of price after trend removal. Provides a purer momentum signal than standard Fisher Transform applied to raw price.
Background
FisherHighPass applies the Fisher Transform to the high-pass filtered price rather than raw price. By first removing the low-frequency trend component with a high-pass filter, the resulting Fisher output captures only the cycle-domain momentum, producing an oscillator that is unaffected by the prevailing trend direction.
Parameters
hp_len(default: 20): HighPass filter lengthnorm_len(default: 20): Normalization lookback period
Formula
[ HP = \text{HighPass}(Price, hp_len) ] [ N = 2 \cdot \frac{HP - Low(HP, norm_len)}{High(HP, norm_len) - Low(HP, norm_len)} - 1 ] [ S = \frac{N + N_{t-1} + N_{t-2}}{3} ] [ Fisher = 0.5 \cdot \ln\left(\frac{1+S}{1-S}\right) ]