I really liked Cybernetic Analysis for Stocks and Futures, by John Ehlers. But, I gotta say, Chapter One on the Fisher Transform left me a little flat. It starts out focusing on the CCI, even saying that “the CCI can be improved substantially through the use of the Fisher transform.” However, the rest of the chapter fisherises price via a stochastic-like computation, and then compares the result to a MACD. The poor, lonely CCI is forgotten!
So, I’ve done my own investigation. Here is the link to the report: RWT-001.pdf
Here’s the prettiest CCI variant in the report, on some sinusoidal data:
Pretty cool, huh? Enjoy!
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on Thursday, August 6th, 2009 at 11:52 pm and is filed under Trading.
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