alexgrover

Stationary Extrapolated Levels Oscillator

Introduction

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 !
Versionshinweise: - v4
- additional changes
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Kommentare

((x-x)/(x-x))
is always -1 so it should be
ext = (y - 1 * (y - y)) / 2
Antworten
Hadus Hadus
@Hadus, "((x-x)/(x-x))"
"(y - 1 * (y - y))/2"
Antworten
Hadus Hadus
@Hadus, I can't comment it ffs :)
line 7 could be simplified so between the + and the * there is -1
Antworten
@Hadus, New version posted, next time you want to post code use the built in tag.
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Awesome job Alex! This is extremely helpful in finding tops and bottoms along with trading retracements.
+1 Antworten
alexgrover Mackavelli
@Mackavelli, Thanks a lot for the support :) I'll try to make similar things in the future.
Antworten
Great thank you. Nice that you're still on board.
+3 Antworten
@xcromo, thanks for the support
+1 Antworten
Thank you sir.
+2 Antworten
alexgrover tiamo3733
@tiamo3733, you are welcome
+1 Antworten
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