HP Extrapolator

# HP Extrapolator

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A sanali anachedwa fyuluta oyenera timeframes onse, kwambiri chifukwa chondithandiza breakouts.

Chinthu chapadera wa Hodrick-Prescott fyuluta ndi kuti silichedwa. Iwo masamu ndi kuchepetsa ntchito Cholinga

F = ndalama((ndi[ine] – ×[ine])^ 2, ine = 0..n-1) + lambda * ndalama((ndi[Ine + 1]+ndi[i-1]-2*ndi[ine])^ 2, ine = 1..n-2)

kumene ×[] – mitengo, ndi[] – mfundo fyuluta. Pansipa pali chitsanzo cha khalidwe fyuluta (kuona file HP.mq4 zaikidwa m'munsimu)

Ngati Hodrick-Prescott fyuluta akuona tsogolo, ndiye makhalidwe tsogolo silinena? Kuti tiyankhe funso limeneli, tiyenera kupeza digito otsika-pafupipafupi fyuluta ndi pafupipafupi chizindikiro n'zofanana ndi Hodrick-Prescott fyuluta koma ndi makhalidwe imaŵerengedwa mwachindunji kugwiritsa ntchito mfundo wakale wa “amapasa fyuluta” payokha, i.e.

ndi[ine] = ndalama(ndi[K]*×[i-K],K = 0..nx-1) – Oil fyuluta

kapena

ndi[ine] = ndalama(ndi[K]*×[i-K],K = 0..nx-1) + Uwerenge(b[K]*ndi[i-K],K = 1..ny) – IIR fyuluta

Ndi bwino kusankha “amapasa fyuluta” ndi pafupipafupi-palokha kuchedwa Тdel (zonse gulu akuchedwa). IIR Zosefera si abwino. Pakuti Zosefera Oil, zofunikira akuchedwa pafupipafupi-wodziimira payekha motere:

ndi[ine] = +/- ndi[nx-1-i], Ine = 0..nx-1

Losavuta Oil fyuluta ndi kuchedwa nthawi zonse ndi Simple Kupita Avereji (High School):

ndi[ine] = ndalama(×[i-K],K = 0..nx-1)/nx

Pankhaniyi nx ndi chiwerengero wosamvetseka, Тdel = (nx-1)/2. Ngati ife kuloza mfundo za SMA kutseka m'mbuyomu kuchuluka mipiringidzo wofanana Тdel, SMA mfundo lifanane ndi Hodrick-Prescott fyuluta anthu. The masamu enieni sizingatheke chifukwa kusiyana kwambiri magawo pafupipafupi Zosefera awiri (onani tchati m'munsimu):

Pofuna kukwaniritsa machesi wapafupi pakati pa mfundo fyuluta, Ndikupangira widths njira zawo kukhala ofanana (Mwachitsanzo, -6DB). The Hodrick-Prescott fyuluta ndi m'lifupi njira ya -6dB kuchita masamu motere:

WC = 2 * arcsin(0.5/lambda ^ 0,25).

Njira m'lifupi -6dB kwa SMA fyuluta kuchita masamu ndi kompyuta n'zosangalatsa kumva kudzera anthu aone kuti pali zotsatirazi:

|H(yakumadzulo)| = palibe(nx * WC / 2)/popanda(WC / 2)/nx = 0.5

Tchati m'munsimu akuyerekeza mfundo za Zosefera awiri okhala ndi ofanana njira m'lifupi: wofiira – Hodrick-Prescott fyuluta (FiltPer = 25), buluu – High School (nthawi = 15, Kaonedwe = -7). Dziwani kuti palibe deta SMA zomalizira 7 mipiringidzo popeza ayenera kudziwa mitengo tsogolo. Oppositely, ndi Hodrick-Prescott fyuluta (wofiira) chimasonyeza ena mfundo. Ngati ankatembenukira SMA pobwereza ndi mfundo za Hodrick-Prescott kuteteza otsiriza 7 mipiringidzo pambuyo mitengo tsogolo kuoneka, ndiye kodi mfundo imeneyi kukhala?

ma aligorivimu kuneneratu:

Chizindikiro chili ndi njira ziwiri kuneneratu:

Metod 1:

1. Ikani SMA kutalika kwa 3 ndi kuloza ku m'mbuyomu ndi 1 kapamwamba. Ndi kutalika ngati, ndi ankatembenukira SMA kulibe okha bala lomaliza (Bar = 0), kuyambira ziyenera kufunika yotsatira m'tsogolo Close mtengo[-1].
2. Kuwerengetsa SMA filer ndi njira m'lifupi. Zofanana mmodzi wa Hodrick-Prescott fyuluta ndi. Pezani lambda.
3. Kuwerengetsa Hodrick-Prescott fyuluta mtengo bala otsiriza HP[0] ndipo amaganiza kuti SMA[0] ndi Close wosadziwika[-1] amapereka phindu yemweyo.
4. Pezani Close[-1] = 3 * HP[0] – Close[0] – Close[1]
5. Zomwe kutalika SMA kuti 5. Bwerezani kuwerengetsera onse ndi kupeza Close[-2] = 5 * HP[0] – Close[-1] – Close[0] – Close[1] – Close[2]. Pitirizani mpaka mwachindunji kuchuluka kwa FutBars m'tsogolo mitengo kuchita masamu.

njira 2:

1. Ikani SMA kutalika wofanana 2 * FutBars + 1 ndi kuloza SMA zakalekale ndi FutBars
2. Kuwerengetsa SMA filer ndi njira m'lifupi. Zofanana mmodzi wa Hodrick-Prescott fyuluta ndi. Pezani lambda.
3. Kuwerengetsa Hodrick-Prescott fyuluta mfundo pa FutBars otsiriza ndipo amaganiza kuti SMA khalidwe chimodzimodzi pamene mitengo yatsopano kuoneka.
4. Pezani Close[-1] = (2*FutBars + 1)*HP[FutBars-1] – Uwerenge(Close[ine],Ine = 0..2 * FutBars-1), Close[-2] = (2*FutBars + 1)*HP[FutBars-2] – Uwerenge(Close[ine],mu = -1..2 * FutBars-2), etc.

The indicator features the following zolowetsa:

njira – njira kuneneratu

lastbil – chiwerengero cha bala otsiriza kukayendera zolosera pa mitengo alipo (lastbil >= 0)

PastBars – kuchuluka mipiringidzo lapitalo fyuluta Hodrick-Prescott kuchita masamu kuti (kwambiri, bwino, kapena PastBars osachepera>2*FutBars)

FutBars – kuchuluka kwa mfundo ananeneratu m'tsogolo

Chizindikiro zazikulu ananeneratu makhalidwe wofiira. njira 1 ntchito chili m'munsichi chikusonye-:

Yachiwiri njira ndi zolondola kwambiri koma nthawi ali spikes lalikulu loyamba mtengo ananeneratu. The njira anafotokoza kuneneratu angathe bwino ndi kufufuza Oil fyuluta ndi chizindikiro pafupipafupi kwambiri kwa Hodrick-Prescott fyuluta. Mwachitsanzo, mungayese Hanning, Blackman, Kaiser, ndipo Zosefera zina ndi kuchedwa nthawi zonse m'malo SMA.

MT4 Zizindikiro – Download Malangizo

HP Extrapolator ndi Metatrader 4 (MT4) chizindikiro ndipo akamanena za Ndalama Zakunja chizindikiro ndi kusanduliza anapeza mbiri deta.

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