//@version=2
//
// @author MRodr
//
// If you use this code in its original/modified form, do drop me a note.  last stable version was 5
//
strategy(title = "Fisher VFI Strategy ", shorttitle="FVFI-strat")

length = input(130, title="VFI length")
coef = input(0.2)
vcoef = input(2.5, title="Max. vol. cutoff")
signalLength=input(5)
smoothVFI=input(false, type=bool) //delete
showVFI=input(false, type=bool)
showInvFisher=input(false, type=bool) //delete
ma(x,y) => smoothVFI ? sma(x,y) : x
showHisto=input(true,type=bool)

typical=hlc3
inter = log( typical ) - log( typical[1] )
vinter = stdev(inter, 30 )
cutoff = coef * vinter * close
vave = sma( volume, length )[1]
vmax = vave * vcoef
vc = iff(volume < vmax, volume, vmax) //min( volume, vmax )
mf = typical - typical[1]
vcp = iff( mf > cutoff, vc, iff ( mf < -cutoff, -vc, 0 ) )

vfi = ma(sum( vcp , length )/vave, 3)
vfima=ema( vfi, signalLength )
d=vfi-vfima

//plot(showHisto ? d/2 : na, style=histogram, color=gray, linewidth=4, transp=10)
plot( showVFI ? vfima : na , title="EMA of vfi", color=orange)
plot( showVFI ? vfi : na , title="vfi", color=green,linewidth=2)



/// applying Fisher Transforms


/// User input length
use_fisherlen=input(true, type=bool)

fisherlen = input(130, minval=1, title="Fisher Length")

MaxH = highest(vfi, use_fisherlen?fisherlen:length)
MinL = lowest(vfi, use_fisherlen?fisherlen:length)

nValue1 = max(-0.9999, min(0.9999, 0.5 * 2 * ((vfi - MinL) / (MaxH - MinL) - 0.5) + 0.5 *  nz(nValue1[1])))
nValue2 = iff(nValue1 > .99,  .999,iff(nValue1 < -.99, -.999, nValue1))

Fish = 0.25 * log((1 + nValue2) / (1 - nValue2))+ 0.5 * nz(Fish[1]) //main calc

/// Plot
//plot(nValue2, color=green)
//plot(showInvFisher?na:Fish, color=white,linewidth=3)


v1=nValue2*5
v2=wma(v1, 9)
invFish=(exp(2*v2)-1)/(exp(2*v2)+1)


hist_vfi_color=vfi>0? ( vfi>vfi[1] ? lime : green) : ( vfi>vfi[1] ? purple : red)

plot(showInvFisher?invFish:Fish, color=hist_vfi_color, linewidth=5)


slow = input(26, "smoothing period")

maSlow = ema( Fish, slow )
plot( showInvFisher?na:maSlow, style=line, color=aqua, linewidth=2) //aqua line as baseline
plot(showInvFisher?na:(cross(maSlow,Fish) ? maSlow : na), style = circles, linewidth = 2 , color = aqua) //cross marks



h_color=d>=0? (d>d[1]?green:orange) : (d<d[1]?red:orange)


dMaxH = highest(d, use_fisherlen?fisherlen:length)
dMinL = lowest(d, use_fisherlen?fisherlen:length)

dValue1 = max(-0.9999, min(0.9999, 0.5 * 2 * ((d - MinL) / (MaxH - MinL) - 0.5) + 0.5 *  nz(nValue1[1])))
dValue2 = iff(nValue1 > .99,  .999,iff(nValue1 < -.99, -.999, nValue1))

dv1=dValue2*5
dv2=wma(dv1, 9)
inv_d=(exp(2*dv2)-1)/(exp(2*dv2)+1)

deltadjust=input(1)
showhist=input(false, type=bool)

plot(showhist ? ((showInvFisher?inv_d:d) / deltadjust ): na, style=histogram, color=h_color, linewidth=4)

quarter_up = vfi/MaxH
quarter_down = vfi / MinL

c_green=color(green,0)
c_blue = color(#8080C0,0)
c_purple=color(#500050,0)
c_orange = color(#FF9F20,0)
c_soft_red=color(#CC8888,0)
c_red = color(red,0)
c_gray = color(#666666,0)

range_color = vfi>0? ( quarter_up>0.95? color(lime,0) : quarter_up>0.75 ? c_green : quarter_up>0.50 ? c_blue: quarter_up>0.25 ? c_orange : c_gray  ): (  quarter_down>0.95? color(black,0) :quarter_down>0.75 ? c_red : quarter_down>0.50 ? c_purple : quarter_down>0.25 ? c_soft_red : c_gray)
plotshape(true, style = shape.square, location = location.bottom, color =  range_color, transp = 90, editable=true, size =1)





//slow2 = input(12, "Short period")
//fast2 = input(26, "Long period")
//signal2 = input(9, "Smoothing period")


//maFast2 = ema( Fish * volume, fast2 ) / ema( Fish, fast2 )
//maSlow2 = ema( Fish * close, slow2 ) / ema( Fish, slow2 )
//maFast2 =  ema( Fish, fast2 )
//maSlow2 = ema( Fish, slow2 )
//d2 = maSlow2 - maFast2
//maSignal2 = ema( d2, signal2 )
//dm2=d2>0? min(d2-maSignal2,100):max(d2-maSignal2,-100)
//dm2=d2>0? d2-maSignal2:d2-maSignal2

//h_color2=dm2>=0? (dm2>dm2[1]?green:orange) : (dm2<dm2[1]?red:orange)

//plot( dm2>0.1?1:dm2<-0.1?-1:dm2*10, style=histogram, color=h_color2, linewidth=4,transp=50)
//plot( dm2*10, style=histogram, color=h_color2, linewidth=4,transp=50)
//plot( dm2*10, style=histogram, color=gray, linewidth=4,transp=50)

xtreme=input(false,type=bool)
a1=hline(3, title='very overbought', color=red, linestyle=dotted, linewidth=1)
a2=hline(2, title='Pi', color=purple, linestyle=dotted, linewidth=1)
z1=hline(1, title='Pi', color=white, linestyle=dotted, linewidth=1)
z2=hline(0, title='Pi', color=white, linestyle=dotted, linewidth=0)
z3=hline(-1, title='Pi', color=white, linestyle=dotted, linewidth=1)
b1=hline(-2, title='Pi', color=green, linestyle=dotted, linewidth=1)
b2=hline(-3, title='Pi', color=lime, linestyle=dotted, linewidth=1)
p3=fill(a1,a2, color=red,transp=90)
p4=fill(b1,b2, color=green,transp=90)
//fill(hline(4, title='Pi', color=lime, linestyle=dotted, linewidth=1),a1, color=red,transp=70)
//p6=fill(hline(-4, title='Pi', color=lime, linestyle=dotted, linewidth=1),b2, color=green,transp=70):
filterSwingVFI=input(true,type=bool)
tradeMomentum=input(false,type=bool)
mmOverbought=input(defval=2,minval=1,maxval=3,title="momentum Overbought threshold")
mmOversold=input(defval=-2,minval=-3,maxval=-1,title="momentum Overbought threshold")
tradeSwing=input(true,type=bool)
swingOverbought=input(defval=3.4,minval=2.5,maxval=4,title="Swing Overbought threshold")
swingOversold=input(defval=-3.4,minval=-4,maxval=-2.5,title="Swing Overbought threshold")
tradeScalp=input(false,type=bool)
scalpOverbought=input(defval=2.5,minval=2,maxval=3.5,title="Swing Overbought threshold")
scalpOversold=input(defval=-2.5,minval=-3.5,maxval=-2,title="Swing Overbought threshold")

usevfiup=filterSwingVFI?vfi<-5:true
usevfidown=filterSwingVFI?vfi>5:true

if (tradeSwing and Fish[1]<swingOversold and Fish>-3.1 and usevfiup and Fish[2]>Fish[1] and Fish[1]<Fish)
    strategy.entry("Swing+", strategy.long,qty=2)
    strategy.entry("Swing+.", strategy.long,qty=2)
    strategy.entry("Swing+..", strategy.long,qty=1)


if (Fish>-0.1)
    strategy.close("Swing+")
if (Fish>0.9)
    strategy.close("Swing+.")
if (Fish>1.9)
    strategy.close("Swing+..")


if (tradeSwing and Fish[1]>swingOverbought and Fish<3.1 and usevfidown and Fish[2]<Fish[1] and Fish[1]>Fish)
    strategy.entry("Swing-",strategy.short, qty=2)
    strategy.entry("Swing-.",strategy.short, qty=2)
    strategy.entry("Swing-..",strategy.short, qty=1)


if (Fish<0.1)
    strategy.close("Swing-")
if (Fish<-0.9)
    strategy.close("Swing-.")
if (Fish<-1.9)
    strategy.close("Swing-..")




// Enters scalp trades
if (tradeScalp and (Fish[1]<scalpOversold or Fish[2]<scalpOversold) and Fish>-2 and usevfiup)// and Fish[2]>Fish[1] and Fish[1]<Fish)
    strategy.entry("Scalp+", strategy.long)
    strategy.entry("Scalp+.", strategy.long)

// Exit trade
if (Fish>-0.5)
    strategy.close("Scalp+")
if (Fish>0.9)
    strategy.close("Scalp+.")


if (tradeScalp and (Fish[1]>scalpOverbought or Fish[2]>scalpOverbought) and Fish<2 and usevfidown)// and Fish[2]<Fish[1] and Fish[1]>Fish)
    strategy.entry("Scalp-", strategy.short)
    strategy.entry("Scalp-.", strategy.short)

// Exit trade on red or green dot
if (Fish<0.5)
    strategy.close("Scalp-")

if (Fish<-0.9)
    strategy.close("Scalp-.")