//+--------------------------------------------------------------------------------------+
//| HP Extrapolator.mq4 |
//| Copyright © 2008, gpwr |
//| vlad1004@yahoo.com |
//+--------------------------------------------------------------------------------------+
#property copyright "Copyright © 2008, gpwr"
#property indicator_chart_window
#property indicator_buffers 1
#property indicator_color1 Red
#property indicator_width1 2
//Global constants
#define pi 3.141592653589793238462643383279502884197169399375105820974944592
//Input parameters
extern int Method =1; //Prediction method
//Method 1: use only existing past values and different length filters
//Method 2: use both existing and prediced values with the filter length of 3
extern int LastBar =150; //Last bar in the past data
extern int PastBars =10000;//Number of past bars to fit HP filter
extern int FutBars =100; //Number of bars to predict
//Indicator buffers
double fv[];
int init()
{
IndicatorBuffers(1);
SetIndexBuffer(0,fv);
SetIndexStyle(0,DRAW_LINE,STYLE_SOLID,2);
SetIndexShift(0,FutBars-LastBar);
IndicatorShortName("HP Extrapolator");
return(0);
}
//+---------------------------------------------------------------------------------------+
int start()
{
int n;
double x[],y[];
ArrayResize(x,PastBars);
ArrayResize(y,PastBars);
for(int i=0;i<PastBars;i++) x[i]=Close[i+LastBar];
ArrayInitialize(fv,EMPTY_VALUE);
fv[FutBars]=Close[LastBar];
double sum=Close[LastBar];
if(Method==2)
{
n=2*FutBars+1;
HPF(PastBars,Lambda(n),x,y);
for(i=1;i<=n-2;i++) sum+=Close[i+LastBar];
}
for(i=1;i<=FutBars;i++)
{
if(Method==1)
{
n=2*i+1;
HPF(PastBars,Lambda(n),x,y);
sum+=Close[i+LastBar];
fv[FutBars-i]=n*y[0]-sum;
sum=n*y[0];
}
else
{
fv[FutBars-i]=n*y[FutBars-i]-sum;
sum+=fv[FutBars-i]-Close[n-1+LastBar-i];
}
}
return(0);
}
// Hodrick-Prescott Filter----------------------------------------------------------------+
void HPF(int nobs, double lambda, double x[], double& y[])
{
double a[],b[],c[],H1,H2,H3,H4,H5,HH1,HH2,HH3,HH4,HH5,HB,HC,Z;
ArrayResize(a,nobs);
ArrayResize(b,nobs);
ArrayResize(c,nobs);
a[0]=1.0+lambda;
b[0]=-2.0*lambda;
c[0]=lambda;
for(int i=1;i<nobs-2;i++)
{
a[i]=6.0*lambda+1.0;
b[i]=-4.0*lambda;
c[i]=lambda;
}
a[1]=5.0*lambda+1;
a[nobs-1]=1.0+lambda;
a[nobs-2]=5.0*lambda+1.0;
b[nobs-2]=-2.0*lambda;
b[nobs-1]=0.0;
c[nobs-2]=0.0;
c[nobs-1]=0.0;
//Forward
for(i=0;i<nobs;i++)
{
Z=a[i]-H4*H1-HH5*HH2;
HB=b[i];
HH1=H1;
H1=(HB-H4*H2)/Z;
b[i]=H1;
HC=c[i];
HH2=H2;
H2=HC/Z;
c[i]=H2;
a[i]=(x[i]-HH3*HH5-H3*H4)/Z;
HH3=H3;
H3=a[i];
H4=HB-H5*HH1;
HH5=H5;
H5=HC;
}
//Backward
H2=0;
H1=a[nobs-1];
y[nobs-1]=H1;
for(i=nobs-2;i>=0;i--)
{
y[i]=a[i]-b[i]*H1-c[i]*H2;
H2=H1;
H1=y[i];
}
}
// Lambda for Hodrick-Prescott Filter------------------------------------------------+
double Lambda(int n)
{
double w; // w=pi*frequency
if(n<=37)
switch(n)
{
case 2: w=pi/3.0;
case 3: w=MathArctan(MathSqrt(0.6));
case 4: w=2.153460564/n;
case 5: w=1.923796031/n;
case 6: w=1.915022415/n;
case 7: w=1.909786299/n;
case 8: w=1.906409362/n;
case 9: w=1.904103844/n;
case 10: w=1.902459533/n;
case 11: w=1.901245508/n;
case 12: w=1.900323600/n;
case 13: w=1.899607018/n;
case 14: w=1.899038987/n;
case 15: w=1.898581041/n;
case 16: w=1.898206498/n;
case 17: w=1.897896254/n;
case 18: w=1.897636390/n;
case 19: w=1.897416484/n;
case 20: w=1.897228842/n;
case 21: w=1.897067382/n;
case 22: w=1.896927473/n;
case 23: w=1.896805427/n;
case 24: w=1.896698359/n;
case 25: w=1.896603866/n;
case 26: w=1.896520032/n;
case 27: w=1.896445477/n;
case 28: w=1.896378692/n;
case 29: w=1.896318725/n;
case 30: w=1.896264646/n;
case 31: w=1.896215693/n;
case 32: w=1.896171301/n;
case 33: w=1.896130841/n;
case 34: w=1.896094060/n;
case 35: w=1.896060192/n;
case 36: w=1.896029169/n;
case 37: w=1.896000584/n;
}
else w=1.896/n;
return(0.0625/MathPow(MathSin(w),4));
}
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: