AFL Library

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Description:

This is the Inverse Fisher Transform (IFT) of the Relative Strength Index (RSI), across multiple timeframes. It only shows two timeframes at any given time -- the currrent chart time frame, and the next largest time frame (see code for details).

Hourly chart: When the IFT is oversold on the daily IFT, and lifting up above the oversold line -- and the hourly IFT is also rising -- this is a good buy signal. The reverse is true for a short signal.

This may be used with 5 min., hourly, daily, and weekly charts.

Included is Tom DeMark-style duration analysis, which includes trend strength arrows. These arrows are not buy or sell signals. Instead, they represent extreme conditions, which usually end up with a strong rebound, or a strong continuation of the trend. Use something like the Volume Flow Indicator (VFI) to help determine which way the trend will go.

The white IFT line always represents the smaller time frame (i.e, the default time frame for the chart).

You may want to build a version of this that uses Tom DeMark's Range Expansion Index, instead of the IFT or RSI. This works well to help determine what this IFT indicator will likely do next.

Formula:

/* IFT-RSI */
TimeFrameSet(in5Minute);
pr_5m = (H+L)/2; 
len_5m = 10; 
maxh_5m = HHV(pr_5m,len_5m); 
minl_5m = LLV(pr_5m,len_5m); 
Array1_5m = .33*2*((pr_5m-minl_5m)/(maxh_5m-minl_5m)-.5); 
val1_5m = AMA(Array1_5m,.67); 
value1_5m = IIf(val1_5m>.99,.999,IIf(val1_5m<-.99,-.999,val1_5m)); 
Array2_5m = .5*log((1+value1_5m)/(1-value1_5m)); 
fish_5m = AMA(Array2_5m,.5); 

/* IFT-RSI */
TimeFrameSet(inHourly);
pr_h = (H+L)/2; 
len_h = 10; 
maxh_h = HHV(pr_h,len_h); 
minl_h = LLV(pr_h,len_h); 
Array1_h = .33*2*((pr_h-minl_h)/(maxh_h-minl_h)-.5); 
val1_h = AMA(Array1_h,.67); 
value1_h = IIf(val1_h>.99,.999,IIf(val1_h<-.99,-.999,val1_h)); 
Array2_h = .5*log((1+value1_h)/(1-value1_h)); 
fish_h = AMA(Array2_h,.5); 

/* IFT-RSI */
TimeFrameSet(inDaily);
pr_d = (H+L)/2; 
len_d = 10; 
maxh_d = HHV(pr_d,len_d); 
minl_d = LLV(pr_d,len_d); 
Array1_d = .33*2*((pr_d-minl_d)/(maxh_d-minl_d)-.5); 
val1_d = AMA(Array1_d,.67); 
value1_d = IIf(val1_d>.99,.999,IIf(val1_d<-.99,-.999,val1_d)); 
Array2_d = .5*log((1+value1_d)/(1-value1_d)); 
fish_d = AMA(Array2_d,.5); 

/* IFT-RSI */
TimeFrameSet(inWeekly);
pr_w = (H+L)/2; 
len_w = 10; 
maxh_w = HHV(pr_w,len_w); 
minl_w = LLV(pr_w,len_w); 
Array1_w = .33*2*((pr_w-minl_w)/(maxh_w-minl_w)-.5); 
val1_w = AMA(Array1_w,.67); 
value1_w = IIf(val1_w>.99,.999,IIf(val1_w<-.99,-.999,val1_w)); 
Array2_w = .5*log((1+value1_w)/(1-value1_w)); 
fish_w = AMA(Array2_w,.5);

/* IFT-RSI */
TimeFrameSet(inMonthly);
pr_mo = (H+L)/2; 
len_mo = 10; 
maxh_mo = HHV(pr_mo,len_mo); 
minl_mo = LLV(pr_mo,len_mo); 
Array1_mo = .33*2*((pr_mo-minl_mo)/(maxh_mo-minl_mo)-.5); 
val1_mo = AMA(Array1_mo,.67); 
value1_mo = IIf(val1_mo>.99,.999,IIf(val1_mo<-.99,-.999,val1_mo)); 
Array2_mo = .5*log((1+value1_mo)/(1-value1_mo)); 
fish_mo = AMA(Array2_mo,.5); 

TimeFrameRestore();

varOverboughtSignal = 0.20;
varOversoldSignal = -0.20;
PlotGrid(varOverboughtSignal);
PlotGrid(varOversoldSignal);

/// DURATION ANALYSIS for Hourly ///
// Identify oversold conditions, marked with red arrow to denote downtrend
varOversold_h = IIf( Ref(fish_h,-7)<=varOversoldSignal 
AND Ref(fish_h,-6)<=varOversoldSignal 
AND Ref(fish_h,-5)<=varOversoldSignal 
AND Ref(fish_h,-4)<=varOversoldSignal 
AND Ref(fish_h,-3)<=varOversoldSignal 
AND Ref(fish_h,-2)<=varOversoldSignal 
AND Ref(fish_h,-1)<=varOversoldSignal 
AND fish_h<=varOversoldSignal ,1,0);
IIf(VarOversold_h>0,PlotShapes(shapeHollowDownArrow*varOversold_h,colorRed),0);

// Identify overbought conditions, marked with green arrow to denote uptrend
varOverbought_h = IIf( Ref(fish_h,-7)>=varOverboughtSignal 
AND Ref(fish_h,-6)>=varOverboughtSignal 
AND Ref(fish_h,-5)>=varOverboughtSignal
AND Ref(fish_h,-4)>=varOverboughtSignal 
AND Ref(fish_h,-3)>=varOverboughtSignal 
AND Ref(fish_h,-2)>=varOverboughtSignal 
AND Ref(fish_h,-1)>=varOverboughtSignal 
AND fish_h>=varOverboughtSignal ,1,0);
IIf(varOverbought_h>0,PlotShapes(shapeHollowUpArrow*varOverbought_h,colorGreen),0);

Plot(TimeFrameExpand(fish_5m, in5Minute), "IFT_5m", colorWhite, styleThick);

Plot(TimeFrameExpand(fish_h, inHourly), "IFT_h", colorOrange, styleThick);

Plot(TimeFrameExpand(fish_d, inDaily), "IFT_d", colorRed, styleThick);

Plot(TimeFrameExpand(fish_w, inWeekly), "IFT_w", colorBlue, styleThick);

Plot(TimeFrameExpand(fish_mo, inMonthly), "IFT_m", colorBlack, styleThick);

Title="IFT-RSI TimeFrame";

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