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.

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