Stationary Extrapolated Levels Oscillator

1297 görüntülenme
Introduction

The oscillator version of the stationary extrapolated levels indicator. The methodology behind the extrapolated levels where to minimize the risk of making a decision based only on a forecast, therefore the indicator plotted levels in order to determine possible reversal points, signals where generated when the detrended series crossed over/under those levels.

The Indicator

First we detrend the price, this is because forecasting the trend is often harder than a series without trend (stationarity > non-stationarity), then we forecast the detrended price with a linear extrapolation over a period of length and apply a max/min filter twice to the forecast, the max/min filters are just the highest and lowest function in pine. So the max/min filter have lag length/2, by applying it two times we have a lag of length which is the period of the forecast. Because we use highest and lowest we can apply min-max normalization in the form of :

x' = (x - min(x, min'))/(max(x,max') - min(x, min'))

where x is the detrended price, max' the highest of the forecast of x and min' the lowest of the forecast of x. This result in a scaled oscillator in a range of (1,0),

When the indicator is equal to 1 or 0 there are high chances of reversals, more in depth this mean that the detrended price have crossed the highest/lowest of the forecast, when the indicator is equal to 0 or 1 for a long time this mean that the forecast was quite inaccurate, you can minimize risk by focusing on the cross between the detrended price and the 0.8/0.2 levels.

Conclusion

I've shown an oscillator version of my previous "Stationary extrapolated levels" indicator, the method involving taking the highest and lowest of the forecast is a great way to minimize the risk involved by time-series forecasting driven decisions. So i hope you find an use to it.

Sürüm Notları: - v4
« Je suis las des cruautés de mes semblables, qui ne sont pas mes pareils.

« Je prendrai l’essor et je m’envolerai vers la mer.

« Je connaîtrai le goût des brises du large. J’entendrai les grands cris de la tempête.

Yorumlar

((x-x)/(x-x))
is always -1 so it should be
ext = (y - 1 * (y - y)) / 2
Cevap Gönder
"(y - 1 * (y - y))/2"
Cevap Gönder
@Hadus, I can't comment it ffs :)
line 7 could be simplified so between the + and the * there is -1
Cevap Gönder
@Hadus, New version posted, next time you want to post code use the built in tag.
Cevap Gönder
Awesome job Alex! This is extremely helpful in finding tops and bottoms along with trading retracements.
Cevap Gönder
Mackavelli
@Mackavelli, Thanks a lot for the support :) I'll try to make similar things in the future.
Cevap Gönder
Great thank you. Nice that you're still on board.
Cevap Gönder
xcromo
@xcromo, thanks for the support
Cevap Gönder
Thank you sir.
Cevap Gönder
tiamo3733
@tiamo3733, you are welcome
Cevap Gönder