Adaptive SSA
- Indicateurs
- Jean Francois Le Bas
- Version: 1.0
- Activations: 12
SSA stands for 'Singular Spectrum Analysis'. It combines elements of classical time series decomposition, statistics,
multivariate geometry, dynamical systems and signal processing.
SSA decomposes time series into a sum of components (ETs), with each component representing a lower smoothing, using several SVD (Singular Value
Decompositions).
It is a powerful filtering process used in many fields of research (climatology, biomedical, aerospace, etc), where high quality
forecasting and smoothing of data is important.
The SSA is adaptive in nature, but this Adaptive Version takes it to the next level, by adding a better fit to the data, while keeping smoothness to its maximum.
YOU NEED A HIGH-END CPU TO USE THIS INDICATOR, SPECIALLY IN ADAPTIVE AND REALTIME MODE. THIS IS AN OPTIMIZED VERSION.
HOW TO USE IT:
- First Set your Window Size. The higher the size, the higher the smoothing capability, but it is also slower to process.
- Select the ET bins you like. If you want more smoothing select only 'Bin 1', but 'Both Bins' is often the best choice. Bin 1 selection is often best for the Non-Adaptive mode.
- Set the Threshold to a high value (for example 800.0) and lower it step by step until you're satisfied with the adaptiveness of the curve. A value too low and there is no smoothing, A value too high and there is too much smoothing and no adaptiveness, so you have to find the right value for your trading style.
WHAT TO DO IF YOU HAVE A SLOW PC :
If the processing of N past bars is cut short because of the time limit set in the parameters, you can do several things:
- use a VPS
- Make the processing time limit higher ('Max Computation Time').
- Lower the Smoothing factor.
- Lower the Window Size (less smoothing but faster processing).
- Use only ET Bin 1 only.
- Raise the 'Step' parameter in Adaptive Mode.
- Disable 'Extra Precision'.
As a rule of thumb, the bigger the 'Window Size', the better the smoothing, but also requires more processing power.
If your computer is not powerful enough to process Realtime tick data :
This indicator has been made to be used at the close of the bar. The computation happens only once per bar, at the close of the bar.
Another way is to use the 'extrapolate last bar' function : It will compute the SSA for the last bar at the open.
PARAMETERS DESCRIPTION
- Threshold -- the smoothing is lowered step by step until the difference with the signal is under the 'Threshold' value.
- Smoothing Start [0..1]
- Smoothing Stop [0..Smoothing Start]
- Adaptive Step [1..window] -- The 'Smoothing Start' value is lowered step by step (using the 'Adaptive Step' value), until it reaches the 'Smoothing Stop' value.
- Extra Precision
- Extra Precision Threshold [0..1] -- If 'Extra Precision' is set to 'True', the step value is lowered to the smallest value possible.
Global Parameters :
- ET -- You can select the 'Bin 1', the 'Bin 2' or 'Both'. 'Bin 1' is smoother than 'Bin 2' but sometimes you need both, specially in the 'Adaptive Mode'.
- Window Size -- Higher Size = more smoothing but also is lower to process.
- Realtime Mode (recomputes SSA on every tick) -- this mode requires a high-end CPU and is not really necessary because it's better to wait the end of the bar before deciding if there is a reversal.
- Max Realtime Tick Computation Time (in seconds) -- This value is the maximal duration of the processing of ONE window. If the processing takes longer, 'Realtime Mode' processing is not possible, because ticks will arrive faster than the processing of the data is possible.
- Extrapolate last bar -- Forecast of the next value based on the past values and the Open of last bar ('Realtime Mode' must be 'OFF').
- Use Additional Memory -- More memory is used but this speeds up the processing of the SVDs.
- Bars to compute -- Number of past values to compute.
- Max Computation Time (in seconds) -- If the processing of the 'Bars to compute' past values takes more time than that value, the process will be stopped.
Alerts :
- Display Current Slope Value -- true/false. Will print out the slope of the current bar in the "Experts" or "Log" tab.
- Alert on Reversal
- Minimum reversal amount (in points) -- the minimum amount a price has to pull back before an alert is sent.
- Alert on Slope
- Minimum Slope amount -- the minimum slope of the SSA before an alert is sent.
- Use MT4 Sound Alerts
- Use Email Alerts
- Use Push Alerts
