AR extrapolation of price - indicator for MetaTrader 5

An autoregressive (AR) (or linear prediction) model is given by:

where:

• x[n] is the predicted value of a time series;
• x[n-p]..x[n-1] are known past values of the same series;
• a[1]..a[p] are the model coefficients, and p is the model order.
  

The model coefficients a[1]..a[p] can be fitted to the past data by a variety of methods. This indicator uses the Burg method.

The inputs of the indicator are:

• UseDiff - a boolean switch to use price differences instead of prices themselves
• Ncoef - number of model coefficients (model order)
• Nfut - number of future bars
• kPast - number of past bars in increments of Ncoef (must be >=1)

The indicator plots two curves: the blue curve represents the model outputs during its fitting, the red curve shows predicted future prices.

UseDiff=false:

UseDiff=true: