TradingView
alexgrover
2018年2月14日午後11時9分

Linear Extrapolation 

EUR/USDOANDA

詳細

Basic extrapolator for forecast a time-series, all forecasts are mades length periods ahead.





This is not a estimation of the exact price

This should only be used for forecasting direction, dont expect the price to be at the same value of its forecast.

Bias, Mean absolute error, Mean percentage error...etc look useless here, its better to use correlation as a accuracy measurement.

Correlation(Forecast[length],close,period)



Rescaling for a better forecast ?

Transforming a non-stationary signal to a stationary signal can increase the forecasting accuracy, this can be done by detrending. Here is a list of somes detrending methods:

Auto-Bias : price - price[period]

Mean-Bias : price - price moving average

Log transform : log(price/price moving average)

Correlation : correlation(price,n,period)



コメント
Maltron
Для 5 минут какой периодлучше установить?
alexgrover
@Maltron, price changes a lot, so there is no best fixed period for the indicator
syracusepro
n for the aggregation period?
alexgrover
@syracusepro, wich "n" are you talking about ? the forecast windows size or the the linear sequence "x" ?
ICEKI
That was awesome, detailed explanation. Thanks for generous for shared in public =D
alexgrover
@ICEKI, Thanks for your support, stay tunned for others forecasting projects as well :)
ICEKI
@alexgrover, Appreciated, sure I will
詳細