Fourier extrapolation of price – indicator for MetaTrader 5

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A multi-harmonic (or multi-tone) trigonometric model of a price series x[i], i=1..n, is given by:

x[i] = m + Sum( a[h]*Cos(w[h]*i) + b[h]*Sin(w[h]*i), h=1..H )

where:

  • x[i] – past price at i-th bar, total n past prices;
  • m – bias;
  • a[h] and b[h] – scaling coefficients of harmonics;
  • w[h] – frequency of a harmonic;
  • h – harmonic number;
  • H – total number of fitted harmonics.

Fitting this model means finding m, a[h], b[h], and w[h] that make the modeled values to be close to real values. Finding the harmonic frequencies w[h] is the most difficult part of fitting a trigonometric model. In the case of a Fourier series, these frequencies are set at 2*pi*h/n. But, the Fourier series extrapolation means simply repeating the n past prices into the future.

This indicator uses the Quinn-Fernandes algorithm to find the harmonic frequencies. It fits harmonics of the trigonometric series one by one until the specified total number of harmonics H is reached. After fitting a new harmonic, the coded algorithm computes the residue between the updated model and the real values and fits a new harmonic to the residue.

The indicator has the following input parameters:

  • Npast – number of past bars, to which trigonometric series is fitted;
  • Nfut – number of predicted future bars;
  • Nharm – total number of harmonics in model;
  • FreqTOL – tolerance of frequency calculations.

The indicator plots two curves: the blue curve indicates modeled past values and the red curve indicates the modeled future values.

MT5 Indicators – Download Instructions

Fourier extrapolation of price – indicator for MetaTrader 5 is a Metatrader 5 (MT5) indicator and the essence of this technical indicator is to transform the accumulated history data.

Fourier extrapolation of price – indicator for MetaTrader 5 provides for an opportunity to detect various peculiarities and patterns in price dynamics which are invisible to the naked eye.

Based on this information, traders can assume further price movement and adjust their strategy accordingly. Click here for MT5 Strategies

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How to install Fourier extrapolation of price – indicator for MetaTrader 5.mq5 to your MetaTrader 5 Chart?

  • Download Fourier extrapolation of price – indicator for MetaTrader 5.mq5
  • Copy Fourier extrapolation of price – indicator for MetaTrader 5.mq5 to your Metatrader 5 Directory / experts / indicators /
  • Start or restart your Metatrader 5 Client
  • Select Chart and Timeframe where you want to test your mt5 indicator
  • Search “Custom Indicators” in your Navigator mostly left in your Metatrader 5 Client
  • Right click on Fourier extrapolation of price – indicator for MetaTrader 5.mq5
  • Attach to a chart
  • Modify settings or press ok
  • Indicator Fourier extrapolation of price – indicator for MetaTrader 5.mq4 is available on your Chart

How to remove Fourier extrapolation of price – indicator for MetaTrader 5.mq5 from your Metatrader 5 Chart?

  • Select the Chart where is the Indicator running in your Metatrader 5 Client
  • Right click into the Chart
  • “Indicators list”
  • Select the Indicator and delete

Fourier extrapolation of price – indicator for MetaTrader 5 (Free Download)

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