Fisher + Three-Deviation Reversal Envelope For ThinkOrSwim

[antwerks]

mod note:
ANTWERKS FISHER + 3-DEV REVERSAL ENVELOPE V1.0
A Thinkorswim mean-reversion upper study engineered to catch intraday exhaustion reversals by combining statistical price bands with momentum confirmation.

How Day Traders Use It

• Catching Overextended Spikes: Identifies high-probability mean-reversion setups when price pushes out to the 2nd or 3rd Standard Deviation bands during RTH (07:00–16:00 ET).
• Filtering Fakeouts: Prevents "catching falling knives." Signals do not fire on a band touch alone—the internal Fisher Transform must turn away from extreme levels (+2.0 overbought / -2.0 oversold) and price must close back inside the band.
• Non-Repainting Precision: Designed with closed-bar evaluation enabled by default, ensuring plotted arrows and alerts remain permanent once the candle closes.

# ANTWERKS FISHER + THREE-DEVIATION REVERSAL ENVELOPE V1.0
# Thinkorswim upper study
#
# Transparent reconstruction inspired by the supplied screenshot and Fisher
# source code. It is not represented as the undisclosed proprietary formula.
#
# MODEL
#   1. Smoothed price center.
#   2. Price envelope at +/- 1, 2 and 3 standard deviations.
#   3. Internal Fisher Transform normalized over the recent high/low range.
#   4. A reversal watch requires recent contact with the selected band plus
#      either a Fisher turn from an extreme or a stricter exit from an extreme.
#   5. Optional price reclaim requires the confirming close back inside the
#      selected band.
#
# NON-REPAINTING MODE
# When useClosedBarSignals = yes, the signal is evaluated from the last fully
# completed candle and plotted on the next candle. This creates a deliberate
# one-bar delay but prevents the signal from disappearing intrabar.
#
# TIME NOTE
# Thinkorswim session inputs use Eastern Time.

declare upper;

# =========================
# INPUTS: PRICE ENVELOPE
# =========================
input priceSource = close;
input bandLength = 34;
input centerAverageType = AverageType.EXPONENTIAL;
input deviationOne = 1.0;
input deviationTwo = 2.0;
input deviationThree = 3.0;
input signalBand = {ONE, default TWO, THREE};
input setupWindowBars = 4;
input requireCloseBackInsideBand = yes;

# =========================
# INPUTS: FISHER TRANSFORM
# =========================
input fisherLength = 10;
input priceSmoothing = 0.30;
input indexSmoothing = 0.30;
input fisherOverbought = 2.0;
input fisherOversold = -2.0;
input fisherTrigger = {default TURN_FROM_EXTREME, EXIT_EXTREME};

# =========================
# INPUTS: OPTIONAL FILTERS
# =========================
input useBasisSlopeFilter = no;
input basisSlopeBars = 3;
input useSessionFilter = no;
input sessionStartET = 0700;
input sessionEndET = 1600;

# =========================
# INPUTS: DISPLAY / ALERTS
# =========================
input useClosedBarSignals = yes;
input suppressRepeatedDirection = yes;
input showCenterLine = yes;
input showInnerBands = yes;
input showOuterClouds = no;
input showBandTouchDots = no;
input showSignalArrows = yes;
input showSignalBubbles = yes;
input showLabels = yes;
input enableAlerts = yes;

# =========================
# SESSION CONTROL
# =========================
def intradayChart = GetAggregationPeriod() < AggregationPeriod.DAY;
def sessionWindow =
    SecondsFromTime(sessionStartET) >= 0 and
    SecondsTillTime(sessionEndET) > 0;
def logicActive =
    if useSessionFilter then intradayChart and sessionWindow
    else yes;

# =========================
# PRICE CENTER AND 3 SD BANDS
# =========================
def center = MovingAverage(centerAverageType, priceSource, bandLength);
def priceDeviation = StDev(priceSource, bandLength);

def upperOneValue = center + deviationOne * priceDeviation;
def upperTwoValue = center + deviationTwo * priceDeviation;
def upperThreeValue = center + deviationThree * priceDeviation;
def lowerOneValue = center - deviationOne * priceDeviation;
def lowerTwoValue = center - deviationTwo * priceDeviation;
def lowerThreeValue = center - deviationThree * priceDeviation;

plot CenterLine = if showCenterLine then center else Double.NaN;
CenterLine.SetDefaultColor(Color.GRAY);
CenterLine.SetLineWeight(2);

plot UpperOne = if showInnerBands then upperOneValue else Double.NaN;
UpperOne.SetDefaultColor(Color.LIGHT_RED);
UpperOne.SetStyle(Curve.SHORT_DASH);

plot UpperTwo = upperTwoValue;
UpperTwo.SetDefaultColor(Color.RED);
UpperTwo.SetLineWeight(2);

plot UpperThree = upperThreeValue;
UpperThree.SetDefaultColor(Color.DARK_RED);
UpperThree.SetLineWeight(2);

plot LowerOne = if showInnerBands then lowerOneValue else Double.NaN;
LowerOne.SetDefaultColor(Color.LIGHT_GREEN);
LowerOne.SetStyle(Curve.SHORT_DASH);

plot LowerTwo = lowerTwoValue;
LowerTwo.SetDefaultColor(Color.GREEN);
LowerTwo.SetLineWeight(2);

plot LowerThree = lowerThreeValue;
LowerThree.SetDefaultColor(Color.DARK_GREEN);
LowerThree.SetLineWeight(2);

AddCloud(
    if showOuterClouds then UpperThree else Double.NaN,
    if showOuterClouds then UpperTwo else Double.NaN,
    Color.LIGHT_RED,
    Color.LIGHT_RED
);

AddCloud(
    if showOuterClouds then LowerTwo else Double.NaN,
    if showOuterClouds then LowerThree else Double.NaN,
    Color.LIGHT_GREEN,
    Color.LIGHT_GREEN
);

def selectedUpper;
def selectedLower;

switch (signalBand) {
case ONE:
    selectedUpper = upperOneValue;
    selectedLower = lowerOneValue;
case TWO:
    selectedUpper = upperTwoValue;
    selectedLower = lowerTwoValue;
case THREE:
    selectedUpper = upperThreeValue;
    selectedLower = lowerThreeValue;
}

# =========================
# FISHER TRANSFORM
# =========================
# This follows the supplied Pine logic: candle midpoint is normalized within
# the recent range, smoothed, clamped, log-transformed and smoothed again.
def highestHigh = Highest(high, fisherLength);
def lowestLow = Lowest(low, fisherLength);
def minimumMove = TickSize();
def greatestRange = Max(highestHigh - lowestLow, minimumMove);
def midpointPrice = (high + low) / 2;
def priceLocationRaw = 2 * ((midpointPrice - lowestLow) / greatestRange) - 1;
def priceLocation = Max(-0.9999, Min(0.9999, priceLocationRaw));

def smoothedLocation = CompoundValue(
    1,
    priceSmoothing * smoothedLocation[1] +
    (1 - priceSmoothing) * priceLocation,
    0
);
def clampedLocation = Max(-0.9999, Min(0.9999, smoothedLocation));
def fisherIndex = Log((1 + clampedLocation) / (1 - clampedLocation));
def fisher = CompoundValue(
    1,
    indexSmoothing * fisher[1] +
    (1 - indexSmoothing) * fisherIndex,
    0
);

# =========================
# STABLE OR LIVE EVALUATION
# =========================
def evaluatedFisher = if useClosedBarSignals then fisher[1] else fisher;
def priorEvaluatedFisher = if useClosedBarSignals then fisher[2] else fisher[1];
def evaluatedClose = if useClosedBarSignals then close[1] else close;
def evaluatedCenter = if useClosedBarSignals then center[1] else center;
def evaluatedUpper = if useClosedBarSignals then selectedUpper[1] else selectedUpper;
def evaluatedLower = if useClosedBarSignals then selectedLower[1] else selectedLower;
def evaluatedLogicActive = if useClosedBarSignals then logicActive[1] else logicActive;

def evaluatedBasisRising =
    if useClosedBarSignals then center[1] > center[1 + basisSlopeBars]
    else center > center[basisSlopeBars];
def evaluatedBasisFalling =
    if useClosedBarSignals then center[1] < center[1 + basisSlopeBars]
    else center < center[basisSlopeBars];

# A recent contact lets Fisher confirm one or more bars after the actual touch.
def bullishTouchNow =
    if useClosedBarSignals then low[1] <= selectedLower[1]
    else low <= selectedLower;
def bearishTouchNow =
    if useClosedBarSignals then high[1] >= selectedUpper[1]
    else high >= selectedUpper;
def recentLowerBandTouch = Sum(bullishTouchNow, setupWindowBars) > 0;
def recentUpperBandTouch = Sum(bearishTouchNow, setupWindowBars) > 0;

def fisherTurnsUpFromExtreme =
    evaluatedFisher > priorEvaluatedFisher and
    priorEvaluatedFisher <= fisherOversold;
def fisherTurnsDownFromExtreme =
    evaluatedFisher < priorEvaluatedFisher and
    priorEvaluatedFisher >= fisherOverbought;
def fisherExitsLowerExtreme =
    priorEvaluatedFisher <= fisherOversold and
    evaluatedFisher > fisherOversold;
def fisherExitsUpperExtreme =
    priorEvaluatedFisher >= fisherOverbought and
    evaluatedFisher < fisherOverbought;

def bullishFisherTrigger;
def bearishFisherTrigger;

switch (fisherTrigger) {
case TURN_FROM_EXTREME:
    bullishFisherTrigger = fisherTurnsUpFromExtreme;
    bearishFisherTrigger = fisherTurnsDownFromExtreme;
case EXIT_EXTREME:
    bullishFisherTrigger = fisherExitsLowerExtreme;
    bearishFisherTrigger = fisherExitsUpperExtreme;
}

def bullishPriceConfirmation =
    !requireCloseBackInsideBand or evaluatedClose > evaluatedLower;
def bearishPriceConfirmation =
    !requireCloseBackInsideBand or evaluatedClose < evaluatedUpper;

# The optional slope filter blocks fading a sharply falling/rising center.
def bullishSlopeAllowed = !useBasisSlopeFilter or !evaluatedBasisFalling;
def bearishSlopeAllowed = !useBasisSlopeFilter or !evaluatedBasisRising;

def rawBullishSignal =
    evaluatedLogicActive and
    recentLowerBandTouch and
    bullishFisherTrigger and
    bullishPriceConfirmation and
    bullishSlopeAllowed;

def rawBearishSignal =
    evaluatedLogicActive and
    recentUpperBandTouch and
    bearishFisherTrigger and
    bearishPriceConfirmation and
    bearishSlopeAllowed;

# One signal per direction until the opposite direction fires, when enabled.
def lastSignalDirection = CompoundValue(
    1,
    if rawBullishSignal and
       (!suppressRepeatedDirection or lastSignalDirection[1] != 1) then 1
    else if rawBearishSignal and
            (!suppressRepeatedDirection or lastSignalDirection[1] != -1) then -1
    else lastSignalDirection[1],
    0
);

def bullishSignal =
    rawBullishSignal and
    (!suppressRepeatedDirection or lastSignalDirection[1] != 1);
def bearishSignal =
    rawBearishSignal and
    (!suppressRepeatedDirection or lastSignalDirection[1] != -1);

# =========================
# TOUCH MARKERS AND SIGNALS
# =========================
plot LowerBandTouch =
    if showBandTouchDots and bullishTouchNow then evaluatedLower
    else Double.NaN;
LowerBandTouch.SetPaintingStrategy(PaintingStrategy.POINTS);
LowerBandTouch.SetDefaultColor(Color.YELLOW);
LowerBandTouch.SetLineWeight(3);

plot UpperBandTouch =
    if showBandTouchDots and bearishTouchNow then evaluatedUpper
    else Double.NaN;
UpperBandTouch.SetPaintingStrategy(PaintingStrategy.POINTS);
UpperBandTouch.SetDefaultColor(Color.YELLOW);
UpperBandTouch.SetLineWeight(3);

plot BullishArrow =
    if showSignalArrows and bullishSignal then low - 3 * TickSize()
    else Double.NaN;
BullishArrow.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
BullishArrow.SetDefaultColor(Color.GREEN);
BullishArrow.SetLineWeight(4);

plot BearishArrow =
    if showSignalArrows and bearishSignal then high + 3 * TickSize()
    else Double.NaN;
BearishArrow.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
BearishArrow.SetDefaultColor(Color.RED);
BearishArrow.SetLineWeight(4);

AddChartBubble(
    showSignalBubbles and bullishSignal,
    low - 5 * TickSize(),
    "REVERSAL LONG WATCH\nLower band + Fisher confirmation\nWait for structure / risk level",
    Color.GREEN,
    no
);

AddChartBubble(
    showSignalBubbles and bearishSignal,
    high + 5 * TickSize(),
    "REVERSAL SHORT WATCH\nUpper band + Fisher confirmation\nWait for structure / risk level",
    Color.RED,
    yes
);

# =========================
# PLAIN-ENGLISH LABELS
# =========================
def aboveUpperExtreme = evaluatedClose >= evaluatedUpper;
def belowLowerExtreme = evaluatedClose <= evaluatedLower;

AddLabel(
    showLabels,
    if evaluatedBasisRising then "REGIME: CENTER RISING"
    else if evaluatedBasisFalling then "REGIME: CENTER FALLING"
    else "REGIME: CENTER FLAT",
    if evaluatedBasisRising then Color.GREEN
    else if evaluatedBasisFalling then Color.RED
    else Color.YELLOW
);

AddLabel(
    showLabels,
    if aboveUpperExtreme then "LOCATION: AT / ABOVE UPPER SIGNAL BAND"
    else if belowLowerExtreme then "LOCATION: AT / BELOW LOWER SIGNAL BAND"
    else if evaluatedClose > evaluatedCenter then "LOCATION: ABOVE CENTER"
    else if evaluatedClose < evaluatedCenter then "LOCATION: BELOW CENTER"
    else "LOCATION: AT CENTER",
    if aboveUpperExtreme then Color.RED
    else if belowLowerExtreme then Color.GREEN
    else Color.GRAY
);

AddLabel(
    showLabels,
    "FISHER: " + Round(evaluatedFisher, 2) +
    (if evaluatedFisher >= fisherOverbought then " | UPPER EXTREME"
     else if evaluatedFisher <= fisherOversold then " | LOWER EXTREME"
     else if evaluatedFisher > priorEvaluatedFisher then " | RISING"
     else if evaluatedFisher < priorEvaluatedFisher then " | FALLING"
     else " | FLAT"),
    if evaluatedFisher >= fisherOverbought then Color.RED
    else if evaluatedFisher <= fisherOversold then Color.GREEN
    else if evaluatedFisher > priorEvaluatedFisher then Color.CYAN
    else Color.LIGHT_GRAY
);

AddLabel(
    showLabels,
    if bullishSignal then
        "ACTION: LONG WATCH — CONFIRM REVERSAL; DO NOT BLINDLY BUY THE BAND"
    else if bearishSignal then
        "ACTION: SHORT WATCH — CONFIRM REVERSAL; DO NOT BLINDLY SHORT THE BAND"
    else if recentLowerBandTouch and evaluatedFisher <= fisherOversold then
        "HEADS UP: LOWER BAND TOUCHED — WAIT FOR FISHER TO TURN / EXIT"
    else if recentUpperBandTouch and evaluatedFisher >= fisherOverbought then
        "HEADS UP: UPPER BAND TOUCHED — WAIT FOR FISHER TO TURN / EXIT"
    else "ACTION: NO QUALIFIED BAND + FISHER REVERSAL",
    if bullishSignal then Color.GREEN
    else if bearishSignal then Color.RED
    else if (recentLowerBandTouch and evaluatedFisher <= fisherOversold) or
            (recentUpperBandTouch and evaluatedFisher >= fisherOverbought) then Color.YELLOW
    else Color.GRAY
);

AddLabel(
    showLabels,
    if useClosedBarSignals then
        "MODE: CLOSED-BAR — STABLE / ONE BAR LATER"
    else "MODE: LIVE — EARLIER BUT CAN CHANGE INTRABAR",
    if useClosedBarSignals then Color.GREEN else Color.YELLOW
);

# =========================
# ALERTS
# =========================
Alert(
    enableAlerts and bullishSignal,
    "Long reversal watch: lower deviation band and Fisher confirmation",
    Alert.BAR,
    Sound.Ding
);

Alert(
    enableAlerts and bearishSignal,
    "Short reversal watch: upper deviation band and Fisher confirmation",
    Alert.BAR,
    Sound.Ding
);