[EV0912]

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[Marky]

Does someone have example of this sounds good!

[BudFoxFx]

This is one of the most useless indicators known to mankind.

[Louis]

Why so useless?

[Louis]

I found this, but I am even more confused than before

Method 1: Fourier's extrapolation; the frequencies are calculated using the Quinn-Fernandes Algorithm

Method 2: Autocorrelation Method

Method 3: Weighted Burg Method

Method 4: Burg Method with Helme-Nikias weighting function

Method 5: Itakura-Saito (geometric) method

Method 6: Modified covariance method

Methods 2-6 are the methods of linear prediction. The linear prediction is based on finding the future values as the linear functions of the past values. Assume that we have a number of prices x[0]..x[n-1] where the higher index is compliant with the recent price. The prediction of the future price x[n] is calculated as

x[n] = -Sum(a[i]*x[n-i], i=1..p)

where a[i=1..p] - coefficients of the model, p - order of the model. The listed methods 2-6 find the coefficients a[] by decreasing the mean-root-square error on the training last n-p bars. Of course, we can reach the zero error of prediction if we directly solve the set of equations mentioned above with n=2*p by the Levinson-Durbin method. Such method of prediction is called Prony Method. Its disadvantage is the instability during the prediction of the future values of the series. That's way this method has not been included.

[bear]

root square of this indicator = i lost my money jajajajajaja