extrapolation

AR extrapolation of price – indicator MetaTrader 5

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AR extrapolation of price
An autoregressive (AR) (or linear prediction) model is given by: x[n] = -Sum(a[i]*x[n – i], i = 1..p) where: x[n] is the predicted value of a time series; x[n-p]..x[n-1] are known past values of the same series; a[1]..a[p] are the model coefficients, and p is the model order. The model coefficients a[1]..a[p] can be fitted … Read more

Fourier extrapolation of price – indicator MetaTrader 5

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Fourier extrapolation of price
A multi-harmonic (or multi-tone) trigonometric model of a price series x[i], i=1..n, is given by: x[i] = m + Sum( a[h]*Cos(w[h]*i) + b[h]*Sin(w[h]*i), h=1..H ) where: x[i] – past price at i-th bar, total n past prices; m – bias; a[h] and b[h] – scaling coefficients of harmonics; w[h] – frequency of a harmonic; h – harmonic … Read more