The Echo Forecast [LUX]

This indicator uses a simple time series forecasting method derived from the similarity between recent prices and similar/dissimilar historical prices. We named this method "ECHO".

This method originally assumes that future prices can be estimated from a historical series of observations that are most similar to the most recent price variations. This similarity is quantified using the correlation coefficient . Such an assumption can prove to be relatively effective with the forecasting of a periodic time series. We later introduced the ability to select dissimilar series of observations for further experimentation.

This forecasting technique is closely inspired by the analogue method introduced by Lorenz for the prediction of atmospheric data.

1. Settings

  • Evaluation Window: Window size used for finding historical observations similar/dissimilar to recent observations. The total evaluation window is equal to "Forecast Window" + "Evaluation Window"
  • Forecast Window: Determines the forecasting horizon.
  • Forecast Mode: Determines whether to choose historical series similar or dissimilar to the recent price observations.
  • Forecast Construction: Determines how the forecast is constructed. See "Usage" below.
  • Src: Source input of the forecast

Other style settings are self-explanatory.

2. Usage

This tool can be used to forecast future trends but also to indicate which historical variations have the highest degree of similarity/dissimilarity between the observations in the orange zone.

The forecasting window determines the prices segment (in orange) to be used as a reference for the search of the most similar/dissimilar historical price segment (in green) within the gray area.

Most forecasting techniques highly benefit from a detrended series. Due to the nature of this method, we highly recommend applying it to a detrended and periodic series.

You can see above the method is applied on a smooth periodic oscillator and a momentum oscillator.

The construction of the forecast is made from the price changes obtained in the green area, denoted as w(t). Using the "Cumulative" options we construct the forecast from the cumulative sum of w(t). Finally, we add the most recent price value to this cumulated series.

Using the "Mean" options will add the series w(t) with the mean of the prices within the orange segment.

Finally the "Linreg" will add the series w(t) to an extrapolated linear regression fit to the prices within the orange segment.

오픈 소스 스크립트

이 스크립트의 오써는 참된 트레이딩뷰의 스피릿으로 이 스크립트를 오픈소스로 퍼블리쉬하여 트레이더들로 하여금 이해 및 검증할 수 있도록 하였습니다. 오써를 응원합니다! 스크립트를 무료로 쓸 수 있지만, 다른 퍼블리케이션에서 이 코드를 재사용하는 것은 하우스룰을 따릅니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.


이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.

차트에 이 스크립트를 사용하시겠습니까?