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Experts

Burg Extrapolator - expert for MetaTrader 5

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Published by:
Vladimir Karputov
Views:
259
Rating:
votes: 19
Published:
2017.11.03 12:30
Updated:
2017.11.09 08:45

Author of the idea: Vladimir, mq5 code author: barabashkakvn.

The Expert Advisor uses Burg's method for linear prediction. Linear prediction is based on finding future values as linear functions of previous values. Suppose we have the x[0]..x[n-1] price range where the higher index corresponds more recent prices. The prediction of the x[n] future price is calculated as follows:

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

here a[i=1..p] are model ratios, and p is the model order. Burg's method finds the a[] ratios by decreasing a mean-square error on the last training n-p bars.


Input Parameters

  • MaxRisk - maximum risk of all simultaneously performed deals.
  • ntmax - maximum number of deals in one direction.
  • MinProfit - minimal predicted profit at which positions will be opened.
  • MaxLoss - maximal predicted loss at which positions will be closed.
  • TakeProfit - Take Profit value.
  • StopLoss - Stop Loss value.
  • TrailingStop - the Trailing Stop function.
  • PastBars - the number of previous bars used to predict future values.
  • ModelOrder - the order of Burg's model as a fraction of the number of past bars (0..1).
  • UseMOM - enables detrend of input data: mom(i)=log[p(i)/p(i-1)].
  • UseROC - enables detrend of input data: roc=100*(p(i)/p(i-1)-1).

Only one of UseMOM and UseROC variables can be true, i.e. UseMOM=true AND UseROC=true is not allowed.

Like most of optimized Expert Advisors, Burg Extrapolator only works well on training bars. The Expert Advisor will steadily lose money without a constant re-optimization.

Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/19046

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