Extrapolator - MetaTrader 5 Script | Forex Indicator Download - MT4/MT5 Resources - MetaTrader 5 Resources

Extrapolator is the result of long-term research in the field of time series forecasting. This indicator predicts future price action. The indicator plots two lines: the blue line shows the model price on the training bar, and the red line shows the predicted future price.

The indicator is based on several methods, which can be selected via method input variables:

Methods 2-6 are linear prediction methods. Linear forecasting is based on finding future values ​​as a linear function of previous values. Suppose we have x[0]..x[n-1] price range, where older indices correspond to newer prices.

The prediction of future price of x[n] is calculated as follows

x[n] = -Sum(a[i]*x[ni], i=1..p)

Nomenclature 2-6 Find the a[] ratio by reducing the root mean square error over the last training np bars. Of course, zero-error predictions on the training bars can be achieved by directly solving the previously mentioned system of linear equations at n=2*p using the Levinson-Durbin algorithm. This prediction method is called the Prony method. Its disadvantage is that the prediction of future values ​​of the range is unstable. Therefore, this method is not included.

Other input data are:

The indicator was first implemented in MQL4 and published in the code base of mql4.com on December 9, 2008.

Attachment download

📎 extrapolator.mq5 (18.27 KB)

Source: MQL5 #412