Extrapolator is a result of a long-term research in the field of Timeseries Forecasting. This indicator forecasts future price behavior. The indicator draws two lines: the blue one shows model prices on training bars, the red one shows predicted future prices.
The indicator is based on several methods that can be selected by the Method input variable:
Methods 2-6 are linear prediction methods. Linear prediction is based on finding of future values as linear functions of previous values. Assume that we have the x..x[n-1] price range where the older index corresponds to more recent prices.
Forecasting of the x[n] future price is calculated as
x[n] = -Sum(a[i]*x[n-i], i=1..p)
Named methods 2-6 find the a ratios by decreasing a mean-root-square error on the last training n-p bars. Of course, zero error forecast on training bars can be achieved by solving previously mentioned linear equation system directly at n=2*p using the Levinson-Durbin algorithm. Such a forecast method is called Prony Method. Its drawback is unstable forecasts of the future values of the range. Therefore, this method is not included.
Other input data are:
This indicator was first implemented in MQL4 and published in Code Base at mql4.com 9.12.2008.
Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/412
Slow adaptive trend line with ultralinear and JMA smoothings.2pbIdealMA
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