Extrapolator – indicator for MetaTrader 4

  • Platform: Metatrader4
  • Currency pairs: Any pairs, indices and metals
  • Trading Time: Around the clock
  • Recommended broker: icmarkets, XM
  • The indicator is based on several methods that can be chosen by the Method input variable:

    Method 1: Fourier’s extrapolation; the frequencies are calculated using the Quinn-Fernandes Algorithm

    Method 2: Autocorrelation Method

    Method 3: Weighted Burg Method

    Method 4: Burg Method with Helme-Nikias weighting function

    Method 5: Itakura-Saito (geometric) method

    Method 6: Modified covariance method

    Methods 2-6 are the methods of linear prediction. The linear prediction is based on finding the future values as the linear functions of the past values. Assume that we have a number of prices x[0]..x[n-1] where the higher index is compliant with the recent price. The prediction of the future price x[n] is calculated as

    x[n] = -Sum(a[i]*x[n-i], i=1..p)

    where a[i=1..p] – coefficients of the model, p – order of the model. The listed methods 2-6 find the coefficients a[] by decreasing the mean-root-square error on the training last n-p bars. Of course, we can reach the zero error of prediction if we directly solve the set of equations mentioned above with n=2*p by the Levinson-Durbin method. Such method of prediction is called Prony Method. Its disadvantage is the instability during the prediction of the future values of the series. That’s why this method has not been included.

    The other input parameters are:

    LastBar – the number of the last bar in the past data

    PastBars – the number of past bars used for the prediction of the future values

    LPOrder – the order of the linear model as a fraction from the number of the past bars (0..1)

    FutBars – the number of future bars in the prediction

    HarmNo – the maximum number of frequencies for the Method 1 (0 means all frequencies)

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    FreqTOL – the imprecision of the frequeincies calculation for the Method 1 (if it is >0.001 it can’t converge)

    BurgWin – the number of the weighting function for the Method 2 (0=Rectangular 1=Hamming 2=Parabolic)

    The indicator draws two lines: the blue line shows the prices of the model on the training bars, the red line shows the predicted future prices.

    Examples:

    Method 1 (the extrapolation of Fourier series)

    Method 3 (Burg’s method)

    Method 6 (Modified Covariance Method)

    Petition:

    If somebody will be successful in developing a profitable EA based on this indicator I ask to share his/her ideas via the e-mail specified inside the code.

  • How to install MT4 indicator?
  • 1. On the desktop, double-click to open the MT4 trading platform software you installed.
  • 2. Click on “File” – “Open Data Folder” in the upper left corner, double-click the MQL4 folder, and double-click the Indicators folder
  • 3. Copy the metrics you need to install to the Indicators folder
  • 4. Open MT4, find “Navigator” in the display menu, then click “Technical Indicators” of “Navigator” and right click to refresh, you will see the indicator just copied.
  • 5. In the “Technical Indicators” of “Navigator”, find the indicator file just installed, double click or click manually to the chart window
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