[RS]ZigZag Percent Reversal - Forecast - patterns - labels description:
• Zig Zag indicator plots points on the chart whenever prices reverse
by a percentage greater than a pre-chosen variable.
• Forecasts area based on zigzag statistics.
• Displays labels with detected patterns.
• Displays slope information rate of price, time diferentials and angle(experimental)
Forecast
Stationary Extrapolated Levels OscillatorIntroduction
The oscillator version of the stationary extrapolated levels indicator. The methodology behind the extrapolated levels where to minimize the risk of making a decision based only on a forecast, therefore the indicator plotted levels in order to determine possible reversal points, signals where generated when the detrended series crossed over/under those levels.
The Indicator
First we detrend the price, this is because forecasting the trend is often harder than a series without trend (stationarity > non-stationarity) , then we forecast the detrended price with a linear extrapolation over a period of length and apply a max/min filter twice to the forecast, the max/min filters are just the highest and lowest function in pine. So the max/min filter have lag length/2 , by applying it two times we have a lag of length which is the period of the forecast. Because we use highest and lowest we can apply min-max normalization in the form of :
x' = (x - min(x, min'))/(max(x,max') - min(x, min'))
where x is the detrended price, max' the highest of the forecast of x and min' the lowest of the forecast of x . This result in a scaled oscillator in a range of (1,0),
When the indicator is equal to 1 or 0 there are high chances of reversals, more in depth this mean that the detrended price have crossed the highest/lowest of the forecast, when the indicator is equal to 0 or 1 for a long time this mean that the forecast was quite inaccurate, you can minimize risk by focusing on the cross between the detrended price and the 0.8/0.2 levels.
Conclusion
I've shown an oscillator version of my previous "Stationary extrapolated levels" indicator, the method involving taking the highest and lowest of the forecast is a great way to minimize the risk involved by time-series forecasting driven decisions. So i hope you find an use to it.
Thanks for reading !
Morphed Sine WaveIntroduction
If you rescale a sine wave to the price you will need to correlate it with it in order to show good results, today i present a different method that does not involve correlation to "morph" a sine wave to the price in order to provide forecast's and highlight market periodic patterns.
Parameters
length control the period of the sine wave, power control the "morphing" amount, if you see for example that the results are going nuts try to increase power , if the results are just the price and the delayed price try to decrease power .
power = 1
power = 100
Those settings might be different depending on which market you are in.
Various Uses
You can do a lot of things with this indicator, use filters as source :
Use the indicator as source for oscillators in order to create cycles indicators :
And certainly many more things
Conclusion
I presented a way to morph a sine wave to the price i order to highlight cycles. You can use any function that return a value between -1 and 1 instead of sin , this can be a scaled rsi/stochastic or correlation coefficient, its up to you :)
If you need help don't hesitate to commend or pm me. I hope you will like the indicator and that it will inspire you to make great things.
Thanks for reading !
[RS]ZigZag Percent Reversal(Multiple) - Forecast Areasnaive level forecasting of multiple zigzag's
based on this principle:
BB Forecast PrototypeExperiment to try apply @atrader2's MA Forecast () to bollinger bands - didn't exactly work out how I expected it to, especially with the Upper/Lower forecast projections.
Moving Averages & Bollinger Bands with ForecastsMoving Averages & Bollinger Bands with Forecasts
11 Moving Averages
SMA, EMA, WMA
Highly Customizable
Linear Regression Forecast
Bollonger Bands
Personal Setup: Add indicator twice
1st indicator = SMA using #4, 7, 10, 11 (20, 50, 100, 200 SMAs) with bollonger bands on 20.
2nd indicator = EMA using #1, 2, 3, 5, 6, 8, 9 (5, 8, 13, 21 ,34, 55, 89 EMAs).
This allows easy toggling between SMAs/Bolls and Fib EMAs
Thank you to yatrader2 for the forecast code
Moving Averages & Bollinger Bands with ForecastsMoving Averages & Bollinger Bands with Forecasts
11 Moving Averages
SMA, EMA, WMA
Highly Customizable
Linear Regression Forecast
Bollonger Bands
Personal Setup: Add indicator twice
1st indicator = SMA using #4, 7, 10, 11 (20, 50, 100, 200 SMAs) with bollonger bands on 20.
2nd indicator = EMA using #1, 2, 3, 5, 6, 8, 9 (5, 8, 13, 21 ,34, 55, 89 EMAs).
This allows easy toggling between SMAs/Bolls and Fib EMAs
Thank you to yatrader2 for the forecast code
Moving Averages & Bollinger Bands with ForecastsMoving Averages & Bollinger Bands with Forecasts
11 Moving Averages
SMA, EMA, WMA
Highly Customizable
Linear Regression Forecast
Bollonger Bands
Personal Setup: Add indicator twice
1st indicator = SMA using #4, 7, 10, 11 (20, 50, 100, 200 SMAs) with bollonger bands on 20.
2nd indicator = EMA using #1, 2, 3, 5, 6, 8, 9 (5, 8, 13, 21 ,34, 55, 89 EMAs).
This allows easy toggling between SMAs/Bolls and Fib EMAs
Thank you to yatrader2 for the forecast code
Moving Averages & Bollinger Bands with ForecastsMoving Averages & Bollinger Bands with Forecasts
11 Moving Averages
SMA, EMA, WMA
Highly Customizable
Linear Regression Forecast
Bollonger Bands
Personal Setup: Add indicator twice
1st indicator = SMA using #4, 7, 10, 11 (20, 50, 100, 200 SMAs) with bollonger bands on 20.
2nd indicator = EMA using #1, 2, 3, 5, 6, 8, 9 (5, 8, 13, 21 ,34, 55, 89 EMAs).
This allows easy toggling between SMAs/Bolls and Fib EMAs
Thank you to yatrader2 for the forecast code
Meister Shredder - Exponential Moving Averages x4 ForecastShows the 21, 50, 100, 200 Exponential Moving Average + 6 bar forecast
Meister Shredder - Simple Moving Averages x4 ForecastIncludes the 21, 50, 100 and 200 SMA and 6 bar forecast
4EMA ForecastThis script is an upgrade of the existing 3EMA forecast to allow the user to display 4 different EMAs (short, mid, long and very long range) and the forecast for the 5 candles ahead
Seasonality ForecasterThe Seasonaliity Forcaster indicator takes advantage of the seasonality of the price to create a forecast of how the price could go in the coming days.
It is calculated on the DAILY chart that contains about 260 days of market and I recommend using it on that chart.
In the properties under " Style " you can turn on or off the chart of what made the price 1, 2, 3, 4, 5 years ago or the average of the last 5, 7 or 10 years (if there are enough data).
Under " Input " you can decide the offsets of the various charts, or horizontally align the various charts to find the most similar configuration to what the price has done, so as to understand if the price is following the seasonality of a few years in particular, the vertical alignment is a decimal number that allows you to raise or lower the chart in percentage to better align it with the price.
How to use it:
1) under "Properties" --> "Style" deselect all the last years charts and leave just the actual price.
2) select just the last year chart.
3) under input you have the parameters to change to align the last year chart on the actual price chart, the indicator by default show the forecast 100 bars,
align the horizontal offset and the vertical alignment to put the 2 charts together, you have to find the macro trend, not the micro, of the last 5 - 6 months.
4) repeat it with another chart, for example 2 years ago
5) then repeat it with all the charts, if there are no macro trend as the actual price deselect the chart
6) when you find a good overlap look for the candle chart to find a good level to enter.
That's it that's all.
Chande Forecast Oscillator Strategy The Chande Forecast Oscillator developed by Tushar Chande The Forecast
Oscillator plots the percentage difference between the closing price and
the n-period linear regression forecasted price. The oscillator is above
zero when the forecast price is greater than the closing price and less
than zero if it is below.
WARNING:
- This script to change bars colors.
Forecast OscillatorForecast Oscillator indicator script. This indicator was originally developed by Tushar Chande.
Stationary Extrapolated LevelsBeta Peek/Valey based forecast
The idea behind this indicator is to extrapolate a stationary time series and find the peeks of the extrapolated result. The highest and lowest of the extrapolated data represent really precise support and resistance if the data and its extrapolation are barelly equal with an error lower than the average.
When the detrended price ( in blue ) crossover the lower level then the indicator detect a valey and the possibility of an up movement, if the higher is crossed down then the indicator detect a peek and the possibility a down movement.
When "Show extrapolated values" is checked the indicator will show the forecast of the detrended price with a forecast of length periods ahead.
Feel free to contact me for any questions regarding my indicators :)
Linear ExtrapolationBasic extrapolator for forecast a time-series, all forecasts are mades length periods ahead.
This is not a estimation of the exact price
This should only be used for forecasting direction, dont expect the price to be at the same value of its forecast.
Bias, Mean absolute error, Mean percentage error...etc look useless here, its better to use correlation as a accuracy measurement.
Correlation(Forecast ,close,period)
Rescaling for a better forecast ?
Transforming a non-stationary signal to a stationary signal can increase the forecasting accuracy, this can be done by detrending. Here is a list of somes detrending methods:
Auto-Bias : price - price
Mean-Bias : price - price moving average
Log transform : log(price/price moving average)
Correlation : correlation(price,n,period)
[RS]Shifted Pivots V1update: added weekly and monthly pivots, the offset is a average approximation so there may be inconsistency on the date forecasted to be end of week/month.
(using diferent sessions or limited time intervals is not possible).
Previous H/Ls and Forecast H/LPlots the previous periods High and Lows (black crosses) and forecasts the next day's High and Lows (gray crosses)
