Indicators: Price prediction by Nearest Neighbor
q_import:
Very Nice
Thanks.
I can't add comments to your most recent nearest neighbor post so I'm going to ask a question in this one. First off, thank you for submitting this, I find it very interesting, but how do you get the future indicator values using this? I'm using the code below to get the indicator's prediction 50 bars in the future, but this is just an intuitive guess as to how it should work, is this right?
int nearestNeighborHandle = iCustom(_Symbol,_Period,"nearest_neighbor_-_weighted_corr",300,50);
double indicatorValues[];
if( CopyBuffer(nearestNeighborHandle,0,-50,50,indicatorValues) < 0 ) {}
Thank you.
many thanks for your interesting indicator.
If I use your indicator in a strategy, I get the following output:
I suspect that the calculation nearst neighbor with the number of bars starts. Is that correct?
Regards
dee544
Thank You
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Price prediction by Nearest Neighbor:
This indicator uses the Nearest Neighbor clustering technique, also called k-NN, to search for the most similar pattern in history and use its past prices as predictions of the current pattern future prices.
The present indicator finds only one nearest neighbor. So, in essence, it is a 1-NN algorithm. It uses the Pearson correlation coefficient between the current pattern and all past patterns as the measure of distance between them.
The indicator plots two curves: the blue curve indicates the past prices of the nearest neighbour and the red curve indicates the future prices of the same pattern. The nearest neighbour is scaled according to the linear regression slope between this pattern and the current pattern. The indicator also prints the information about the starting date of the nearest neighbor and its correlation coefficient to the present pattern.
Author: Vladimir