loxx

Fourier Extrapolator of Price w/ Projection Forecast [Loxx]

loxx Premium Mis à jour   
Due to popular demand, I'm pusblishing Fourier Extrapolator of Price w/ Projection Forecast.. As stated in it's twin indicator, this one is also multi-harmonic (or multi-tone) trigonometric model of a price series xi, i=1..n, is given by:

xi = m + Sum( a*Cos(w*i) + b*Sin(w*i), h=1..H )

Where:

  • xi - past price at i-th bar, total n past prices;
  • m - bias;
  • a and b - scaling coefficients of harmonics;
  • w - frequency of a harmonic ;
  • h - harmonic number;
  • H - total number of fitted harmonics.

Fitting this model means finding m, a, b, and w that make the modeled values to be close to real values. Finding the harmonic frequencies w is the most difficult part of fitting a trigonometric model. In the case of a Fourier series, these frequencies are set at 2*pi*h/n. But, the Fourier series extrapolation means simply repeating the n past prices into the future.

This indicator uses the Quinn-Fernandes algorithm to find the harmonic frequencies. It fits harmonics of the trigonometric series one by one until the specified total number of harmonics H is reached. After fitting a new harmonic , the coded algorithm computes the residue between the updated model and the real values and fits a new harmonic to the residue.

see here: A Fast Efficient Technique for the Estimation of Frequency , B. G. Quinn and J. M. Fernandes, Biometrika, Vol. 78, No. 3 (Sep., 1991), pp . 489-497 (9 pages) Published By: Oxford University Press

The indicator has the following input parameters:

src - input source
npast - number of past bars, to which trigonometric series is fitted;
Nfut - number of predicted future bars;
nharm - total number of harmonics in model;
frqtol - tolerance of frequency calculations.

The indicator plots two curves: the green/red curve indicates modeled past values and the yellow/fuchsia curve indicates the modeled future values.

The purpose of this indicator is to showcase the Fourier Extrapolator method to be used in future indicators.













Notes de version: Fixed coloration on the forecast bars.
Notes de version: Changed plot to line and cleaned up coordinate drawing functions.
Cleaned up inputs
Added bar coloring muting to better identify trend on chart
Notes de version: One more small cleanup on coordinates.
Notes de version: Display chart cleanup.
Notes de version: Fixed small line error
Notes de version: Big update.
Added the ability to start the forecast from X bars backward so you can see past forecast accuracy, this is now the "Bars back to start forecast" setting. The original bars back setting has been changed to "Calculation bars"
Added more coloring options
Added line width settings for both past and forecast bars
Notes de version: Fixed colors. Added dotted lines to the forecast line so you can better tell between past and forecast. The yellow is uptrend in forecast bars, the fuchsia is down trend in forecast bars.

Script open-source

Dans le véritable esprit de TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par le règlement. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.

Clause de non-responsabilité

Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.

Vous voulez utiliser ce script sur un graphique ?