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Indicators: Extrapolator

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MetaQuotes Software Corp.
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MetaQuotes Software Corp. 2011.09.14 12:46 

Extrapolator:

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:

  1. Fourier's series extrapolation; the frequencies are calculated using Quinn-Fernandes Algorithm;
  2. Autocorrelation Method;
  3. Weighted Burg Method;
  4. Burg Method with Helme-Nikias weighting function;
  5. Itakura-Saito (geometric) method;
  6. Modified covariance method.
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[0]..x[n-1] price range where the older index corresponds to more recent prices.

Author: Nikolay Kositsin

Extrapolator

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