Burg Extrapolator - expert pour MetaTrader 5

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:

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.