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Hello All,

This is very much a 'work in progress'. In 'Cybernetic Analysis for Stocks and Futures' John Ehlers used the Fischer transform (p.1 - p.10) to convert non-Gaussian stock prices to a nearly Gaussian probability distribution.

I'm playing here. I think I need to calculate Relative Strength (RS) first, then RSI, then apply the Fischer transform. (See:http://blog.traderslibrary.com/sylvain_vervoort/2010/09/smoothed-rsi-inverse-fisher-transform-excerpt-from-sc-magazine.html)

Regards,

Peter

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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Information Ratio 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
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