An autoregressive (AR) (or linear prediction) model is given by:

x[n] = -Sum(a[i]*x[n – i], i = 1..p)

where:

The model coefficients a[1]..a[p] can be fitted to the past data by a variety of methods. This indicator uses the Burg method.

The inputs of the indicator are:

UseDiff – a boolean switch to use price differences instead of prices themselves
Ncoef – number of model coefficients (model order)
Nfut – number of future bars
kPast – number of past bars in increments of Ncoef (must be >=1)

The indicator plots two curves: the blue curve represents the model outputs during its fitting, the red curve shows predicted future prices.

UseDiff=false:

UseDiff=true:

Similar MetaTrader Trading Tools:

JS-Chaos - EA MetaTrader 5 The author of the idea: JS_Sergey, the mq5 code author: barabashkakvn. The Expert Advisor is based on Bill Williams' strategy.…
MAMACD - EA MetaTrader 5 Author of the idea: Yuri, author of the mq5 code: barabashkakvn. Two main iMA (Moving Average, MA) indicators with periods…
Dematus - EA MetaTrader 5 Author of the idea: Igor MQL5 code author: barabashkakvn How it works If there is a position, and the price…
MetaCOT 2 CFTC ToolBox (Set of… Contents GENERAL PROVISIONS Brief description Installing the libraries and indicators Several indicators in one window Exporting CFTC reports to CSV…
CDouble & CDoubleVector -… A library for common rounding methods used in MQL development, primitive wrapper class for type (double), and vector for CDouble…
Notify Icon - library MetaTrader 5 This library provides every MQL program with a separate icon in the notification area of the Windows taskbar. The library…
CCI and Martin - EA MetaTrader 5 Author of the idea: Vladimir MQL5 code author: barabashkakvn The EA uses iCCI (Commodity Channel Index, CCI) indicator value on…
MACD Stochastic - EA MetaTrader 5 The author of the idea: Firmin, the mq5 code author: barabashkakvn. The Expert Advisor uses two indicators, including iMACD (Moving…