loxx

Fourier Extrapolator of Variety RSI w/ Bollinger Bands [Loxx]

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Fourier Extrapolator of Variety RSI w/ Bollinger Bands is an RSI indicator that shows the original RSI , the Fourier Extrapolation of RSI in the past, and then the projection of the Fourier Extrapolated RSI for the future. This indicator has 8 different types of RSI including a new type of RSI called T3 RSI . The purpose of this indicator is to demonstrate the Fourier Extrapolation method used to model past data and to predict future price movements. This indicator will repaint. If you wish to use this for trading, then make sure to take a screenshot of the indicator when you enter the trade to save your analysis. This is the first of a series of forecasting indicators that can be used in trading. Due to how this indicator draws on the screen, you must choose values of npast and nfut that are equal to or less than 200. this is due to restrictions by TradingView and Pine Script in only allowing 500 lines on the screen at a time. Enjoy!

What is Fourier Extrapolation?
This indicator uses a 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.

Included:
  • Loxx's Expanded Source Types
  • Loxx's Variety RSI

Other indicators using this same method

Fourier Extrapolator of Price w/ Projection Forecast

Fourier Extrapolator of Price
リリースノート: Increased the max sum of past and futures bars to 600 by only painting every 3rd candle with a line function.

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