// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © RobotNeverDie

//@version=4
study("Fisher Transform Indicator", shorttitle="Fisher Transform Indicator", overlay=false)

// Description:
// Fisher Transform with an changeable EMA alpha https://www.mesasoftware.com/papers/UsingTheFisherTransform.pdf
//
// More at https://github.com/robotneverdie-algo/Pine-Script

//{=================================================================================== Misc. Functions =====================================================================================}

source(x) =>
    if x == "open"
        open
    else
        if x == "high"
            high
        else
            if x == "low"
                low
            else
                if x == "close"
                    close
                else
                    if x == "hl2"
                        hl2
                    else
                        if x == "hlc3"
                            hlc3
                        else
                            if x == "ohlc4"
                                ohlc4
                            else
                                vwap

// clamp a number in an range
clamp(x, xmin, xmax) =>
    max(min(x, xmax), xmin)

// Fisher Transform
fisher_transform(x, len, ema_len) =>
    xmin = lowest(x, len)
    xmax = highest(x, len)
    alpha = 2 / (ema_len + 1)
    np = 0.0
    np := clamp(alpha * 2.0 * ((x - xmin) / (xmax - xmin) - 0.5) + 0.67 * nz(np[1]), -0.999, 0.999)
    fish = 0.0
    fish := 0.5 * log((1 + np) / (1 - np)) + 0.5 * nz(fish[1])
    fish

//{============================================================================= Backtest Date Range Setting ===============================================================================}

_backtest_header = input(true, type=input.bool, title="{================== Backtest Date Range Setting =================}")
_use_date_range = input(true, type=input.bool, title="Use Date Range")
_start_day = input(1, minval=1, maxval=31, title="Start Date")
_start_month = input(1, minval=1, maxval=12, title="Start Month")
_start_year = input(1950, minval=2011, title="Start Year")
_end_day = input(1, minval=1, maxval=31, title="End Date")
_end_month = input(1, minval=1, maxval=12, title="End Month")
_end_year = input(2050, minval=2019, title="End Year")

_start = timestamp(_start_year, _start_month, _start_day, 0, 0)
_end = timestamp(_end_year, _end_month, _end_day, 0, 0)

// Bar window Function
bar_window() =>
    if _use_date_range
        time >= _start and time <= _end
    else
        true

//{=================================================================================== Strategy Setting =====================================================================================}

_strategy_header = input(true, type=input.bool, title="{====================== Strategy Settings =======================}")
_trades_count = input(1, minval=1, title="Trades Count")
_market_position = input("Both", options=["Both", "Long", "Short"], title="Market Position")

//{============================================================================== Fisher Transform Setting =================================================================================}

_fisher_src = input("hl2", options=["open", "high", "low", "close", "hl2", "hlc3", "ohlc4", "vwap"], title="Fisher: Source")
_fisher_len = input(10, title="Fisher: Length")
_fisher_ema_len = input(10, title="Fisher: EMA Length")


//{==================================================================================== Strategy Logic =====================================================================================}

_fisher = fisher_transform(source(_fisher_src), _fisher_len, _fisher_ema_len)

//{=================================================================================== Strategy Signal =====================================================================================}

_overbought = _fisher > 0
_oversold = _fisher < 0

_long = crossover(_fisher, _fisher[1]) and _oversold
_short = crossunder(_fisher, _fisher[1]) and _overbought

_xlong = false
_xshort = false

var _long_count = 0
var _short_count = 0

var _when_long = 0
var _when_short = 0
var _when_exit = 0

_in_long = _when_long > _when_short and _when_long > _when_exit
_in_short = _when_short > _when_long and _when_short > _when_exit
_in_exit = _when_exit > _when_long and _when_exit > _when_short

if _long
    if _in_short or _in_exit
        _long_count := 1
    else
        _long_count := nz(_long_count[1]) + 1
    _short_count := 0
    _in_short := false
    if _long_count <= _trades_count
        _when_long := time

if _short
    if _in_long or _in_exit
        _short_count := 1
    else
        _short_count := nz(_short_count[1]) + 1
    _long_count := 0
    _in_long := false
    if _short_count <= _trades_count
        _when_short := time

if (_xlong and _in_long) or (_xshort and _in_short)
    _when_exit := time

_enter_long = _when_long == time and bar_window() and (_market_position == "Long" or _market_position == "Both")
_enter_short = _when_short == time and bar_window() and (_market_position == "Short" or _market_position == "Both")
_exit_trade = _when_exit == time

//{==================================================================================== Strategy Draw ======================================================================================}

plot(_fisher, linewidth=2, color=#1d6aed, transp=0, title="Fisher Transform Line")
plot(_fisher[1], linewidth=2, color=#a01ded, transp=0, title="Trigger Line")
hline(0, linestyle=hline.style_dashed, linewidth=1, color=#bdbdbd, title="Zero Line")

plotshape(_enter_long, style=shape.triangleup, location=location.bottom, color=#1ca168)
plotshape(_enter_short, style=shape.triangleup, location=location.bottom, color=#ce2020)
plotshape(_exit_trade, style=shape.triangledown, location=location.bottom, color=#ffc100)
barcolor(_enter_long ? #1ca168 : _enter_short ? #ce2020 : _exit_trade ? #ffc100 : na)