HP Extrapolator

HP Extrapolator

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A bao e seng lieha filtara loketse timeframes tsohle, haholo bakeng sa ho bontša breakouts.

The tšobotsi e khethehileng ea Hodrick-Prescott filthara e le hore e ha e lieha. E balwa ka ho fokotsa mosebetsi sepheo

F = chelete((le[kea] – x,[kea])^ 2, kea = 0..n-1) + lambda * chelete((le[kea + 1]+le[i-1]-2*le[kea])^ 2, kea = 1..n-2)

moo x,[] – litheko, le[] – makgabane filtara. Mona ka tlase ke ka mohlala oa boitšoaro ba filtara (bona faele HP.mq4 khomaretse tlase)

Ha Hodrick-Prescott filtara bona nakong e tlang, ebe o ananela seo nakong e tlang ha e fana ka maikutlo a? E le ho araba potso ena, re lokela ho fumana tsa digital tlase maqhubu filthara le maqhubu paramethara tšoanang le e 'ngoe e Hodrick-Prescott filtara e empa ka melao ea boitšoaro e balwa ka ho toba ho sebelisoa melemo fetileng ya “mafahla filtara” ka boeona, i.e.

le[kea] = chelete(e[K]*x,[i-K],K = 0..nx-1) – hum kalse mohbat ka filtara

kapa

le[kea] = chelete(e[K]*x,[i-K],K = 0..nx-1) + Balang(b,[K]*le[i-K],K = 1..ny) – IIR filtara

Ho ke ke molemo ho khetha “mafahla filtara” ho ba le maqhubu a-ikemetseng lieha Тdel (kamehla sehlopheng lieha). IIR filter ha loketse. Bakeng sa-filter hum kalse mohbat ka, boemo bakeng sa ho tšenyo ea nako maqhubu-ikemetseng e tjena:

e[kea] = +/- ka[bang nx-1-i], kea = 0..nx-1

The bonolo hum kalse mohbat ka filtara le lieha kamehla e Bonolo Hatela Karolelano (High School):

le[kea] = chelete(x,[i-K],K = 0..nx-1)/bang nx

Tabeng bang nx ke palo e makatsa, Тdel = (bang nx-1)/2. Ha re jarisa melemo ya sma kelas filtara ho nakong e fetileng ka ho palo ya mekoallo lekanang Тdel, Sma kelas makgabane tsamaisane le Hodrick-Prescott filtara ba. The lipalo hantle ke ke ya fihlellwa ka lebaka la ho se tšoane bohlokoa ka entsprechen le maqhubu a ya filter e 'meli (bona chate tlase):

Ho fihlela papali e haufi-ufi pakeng tsa melao ea boitšoaro filtara, Ke ho kgothaletsa widths le kanaleng bona ho ba tšoanang (ka mohlala, -6DB). The Hodrick-Prescott filtara e bophara mocha oa -6dB e balwa ka tsela e latelang:

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

The le kanaleng bophara ba -6dB bakeng sa sma kelas filtara e balwa ka elaborate dipalo ka tsela e abel e latelang:

|H(w Le)| = na(bang nx * WC / 2)/ntle(WC / 2)/bang nx = 0.5

Chate tlase bapisa melemo ea filter ba babeli ba nang le tšoanang le kanaleng bophara: khubelu – Hodrick-Prescott filtara (FiltPer = 25), mala o moputsoa – High School (nako = 15, Shift = -7). Hlokomela hore ha ho na ya data sma kelas bakeng sa ho qetela 7 mekoallo kaha e lokela ho tseba litheko nakong e tlang. Oppositely, le Hodrick-Prescott filtara (khubelu) bontša ba bang ba makgabane. Ha ile a khaotsa sma kelas pheta taba ka ho melemo ea Hodrick-Prescott filthara ka ho qetela 7 mekoallo mora theko e tlang hlaha, ebe ke eng e ka makgabane tsee li tla etsahala?

dikgatotharabololong bolela lintho esale pele:

Kofuto bontšang mekhoa e 'meli bolela lintho esale pele:

Metod 1:

1. Behantsha sma kelas bolelele ho 3 le jarisa ho e fetileng ke 1 bareng. Le e-ba bolelele joalo, le ile a khaotsa sma kelas ha a eo feela bakeng sa bareng ho qetela (bareng = 0), kaha e hloka boleng ba tlang nakong e tlang Close theko[-1].
2. Bale sma kelas filer e le kanaleng bophara. Lekanang ho e mong le Hodrick-Prescott filtara e. fumana lambda.
3. Bale Hodrick-Prescott filtara boleng ka bareng qetela HP[0] le ho nahana hore sma kelas[0] le Close tsejoeng[-1] fana ka boleng tšoanang.
4. fumana Close[-1] = 3 * HP[0] – Close[0] – Close[1]
5. Eketsa bolelele ba sma kelas ho 5. Pheta dipalelo tsohle 'me u fumane Close[-2] = 5 * HP[0] – Close[-1] – Close[0] – Close[1] – Close[2]. Tsoela pele ho fihlela ka boletsweng palo ya FutBars nakong e tlang litheko e balwa.

mokhoa 2:

1. Behantsha sma kelas bolelele lekanang 2 * FutBars + 1 le jarisa sma kelas ho e fetileng ke FutBars
2. Bale sma kelas filer e le kanaleng bophara. Lekanang ho e mong le Hodrick-Prescott filtara e. fumana lambda.
3. Bale Hodrick-Prescott filtara makgabane ka FutBars ho qetela le ho nahana hore sma kelas itshwara ka tsela e tšoanang ha litheko tse ncha hlaha.
4. fumana Close[-1] = (2*FutBars + 1)*HP[FutBars-1] – Balang(Close[kea],kea = 0..2 * FutBars-1), Close[-2] = (2*FutBars + 1)*HP[FutBars-2] – Balang(Close[kea],ka = -1..2 * FutBars-2), joalo-joalo.

The indicator features the following ditsenngwateng:

mokhoa – mokhoa bolela lintho esale pele

lastbil – nomoro ea bareng ea ho qetela ho hlahloba tse boletsoeng esale pele ka litheko tse teng (lastbil >= 0)

PastBars – palo ea mekoallo fetileng ho filtara Hodrick-Prescott e balwa bakeng sa (ho feta, e molemo, kapa PastBars bonyane>2*FutBars)

FutBars – palo ea melao ea boitšoaro ea bolela esale pele nakong e tlang

Kofuto lintlha-khōlō ea bolela esale pele maemo a khubelu. mokhoa 1 le sebelisitsoe ka mohlala o ka tlaase mona:

Mokhoa ea bobeli e nepahetse ho feta empa hangata e na le Spikes kgolo ya pele theko ea bolela esale pele. The mokhoa hlalosoa e bolela lintho esale pele ka ba ntlafala ka ho etsa lipatlisiso bakeng sa hum kalse mohbat ka filtara le paramethara maqhubu a haufi le Hodrick-Prescott filtara. Ka mohlala, o ka leka Hanning, Blackman, Kaiser, le-filter e meng le ho lieha kamehla sebakeng sa sma kelas.

HP Extrapolator ke Metatrader 4 (MT4) gage le mozindo ya forex gage ke ho fetola bokeletseng histori ya data.

HP Extrapolator fana monyetla oa ho lemoha peculiarities tse sa tšoaneng le mekhoa ka dipharologanyo theko tse sa bonahaleng ka mahlo.

Thehiloeng ho tlhahisoleseding ena, bahoebi ka nahana ka ho eketsehileng theko metsamao ya mmele le fetola ba bona ba leano ka ho loketseng.

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