HomeForex MT5 IndicatorsFourier extrapolation of price - indicator for MetaTrader 5

# Fourier extrapolation of price – indicator for MetaTrader 5

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.

This is a Metatrader 5 (MT5) indicator and the essence of this technical indicator is to transform the accumulated history data.

This MT5 Indicator provides for an opportunity to detect various peculiarities and patterns in price dynamics which are invisible to the naked eye.

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• Copy the mq5 file to your Metatrader 5 Directory / experts / indicators /
• Select Chart and Timeframe where you want to test your mt5 indicator
• Right click on mq5 file
• Attach to a chart
• Modify settings or press ok
• And the Indicator is available on your 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

Tim Morrishttps://www.forexmt4indicators.com/
Tim Morris is a work from home dad, home-based forex trader, writer and blogger by passion. He likes to research and share the latest forex trading strategies and forex indicators on ForexMT4Indicators.com. His passion is to let everyone to be able to learn and download different types of forex trading strategies and mt4/mt5 indicators at ForexMT4Indicators.com
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