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업데이트됨 Fourier Extrapolator of Price [Loxx]

Fourier Extrapolator of Price [Loxx] is a multi-harmonic (or multi-tone) trigonometric model of a price series xi, i=1..n, is given by:
xi = m + Sum( a[h]*Cos(w[h]*i) + b[h]*Sin(w[h]*i), h=1..H )
Where:
Fitting this model means finding m, a[h], b[h], and w[h] that make the modeled values to be close to real values. Finding the harmonic frequencies w[h] 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:
The indicator plots the modeled past values
The purpose of this indicator is to showcase the Fourier Extrapolator method to be used in future indicators. While this method can also prediction future price movements, for our purpose here we will avoid doing.
xi = m + Sum( a[h]*Cos(w[h]*i) + b[h]*Sin(w[h]*i), h=1..H )
Where:
- xi - past price at i-th bar, total n past prices;
- m - bias;
- a[h] and b[h] - scaling coefficients of harmonics;
- w[h] - frequency of a harmonic;
- h - harmonic number;
- H - total number of fitted harmonics.
Fitting this model means finding m, a[h], b[h], and w[h] that make the modeled values to be close to real values. Finding the harmonic frequencies w[h] 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;
- nharm - total number of harmonics in model;
- frqtol - tolerance of frequency calculations.
The indicator plots the modeled past values
The purpose of this indicator is to showcase the Fourier Extrapolator method to be used in future indicators. While this method can also prediction future price movements, for our purpose here we will avoid doing.
릴리즈 노트
Fixed input names오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
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면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.
오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
Public Telegram Group, t.me/algxtrading_public
VIP Membership Info: patreon.com/algxtrading/membership
VIP Membership Info: patreon.com/algxtrading/membership
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.