OPEN-SOURCE SCRIPT

Nearest Neighbor Extrapolation of Price [Loxx]

I wasn't going to post this because I don't like how this calculates by puling in the Open price, but I'm posting it anyway. This does work in it's current form but there is a. better way to do this. I'll revisit this in the future.

Anyway...

The k-Nearest Neighbor algorithm (k-NN) searches for k past patterns (neighbors) that are most similar to the current pattern and computes the future prices based on weighted voting of those neighbors. This indicator finds only one nearest neighbor. So, in essence, it is a 1-NN algorithm. It uses the Pearson correlation coefficient between the current pattern and all past patterns as the measure of distance between them. Also, this version of the nearest neighbor indicator gives larger weights to most recent prices while searching for the closest pattern in the past. It uses a weighted correlation coefficient, whose weight decays linearly from newer to older prices within a price pattern.

This indicator also includes an error window that shows whether the calculation is valid. If it's green and says "Passed", then the calculation is valid, otherwise it'll show a red background and and error message.

Inputs
  • Npast - number of past bars in a pattern;
  • Nfut -number of future bars in a pattern (must be < Npast).
  • lastbar - How many bars back to start forecast? Useful to show past prediction accuracy
  • barsbark - This prevents Pine from trying to calculate on all past bars


Related indicators

Hodrick-Prescott Extrapolation of Price
Hodrick-Prescott Extrapolation of Price [Loxx]


Itakura-Saito Autoregressive Extrapolation of Price
Itakura-Saito Autoregressive Extrapolation of Price [Loxx]


Helme-Nikias Weighted Burg AR-SE Extra. of Price
Helme-Nikias Weighted Burg AR-SE Extra. of Price [Loxx]


Weighted Burg AR Spectral Estimate Extrapolation of Price
Weighted Burg AR Spectral Estimate Extrapolation of Price [Loxx]


Levinson-Durbin Autocorrelation Extrapolation of Price
Levinson-Durbin Autocorrelation Extrapolation of Price [Loxx]


Fourier Extrapolator of Price w/ Projection Forecast
Fourier Extrapolator of Price w/ Projection Forecast [Loxx]
correlationestimationextrapolationextrapolatorforecastforecastingpearsoncorrelationpredictionTrend Analysis

开源脚本

本着真正的TradingView精神,此脚本的作者已将其开源,以便交易者可以理解和验证它。向作者致敬!您可以免费使用它,但在出版物中重复使用此代码受网站规则约束。 您可以收藏它以在图表上使用。

想在图表上使用此脚本?


Public Telegram Group, t.me/algxtrading_public

VIP Membership Info: patreon.com/algxtrading/membership
更多:

免责声明