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AR extrapolation of price - indicator for MetaTrader 5

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Published by:
votes: 26
2010.07.05 14:14
2016.11.22 07:32

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

x[n] = -Sum(a[i]*x[n - i], i = 1..p)


  • 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 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.


AR extrapolation of price


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