SSA Stochastic Limited Edition

SSA Stochastic Limited Edition

version “stochastic oscillator“Algorithms using singular spectrum analysis

SSA It is an effective treatment method nonstationary time series with unknown internal structure. It is used to determine the major components (trend, and seasonal fluctuations of the wave), a smoothing and noise suppression. The method allows us to find previously unknown frequency range and build a forecast on the basis of the detected periodic patterns.

Indicator signals are identical to the original display signals, but have the important advantage – do not have the time delay with respect to the price dynamics and more accurately and synchronously reflect variability behavior price series. This is achieved due to the fact that “SSA-% D” signal is realized not moving average, and low-pass filtering using SSA algorithm. Accordingly, this indicator is spared from this apparent lack, like the delay.

Custom filtering noise can significantly reduce the number of false signals, typical for the original indicator.

Built forecast for “SSA-% K” and “SSA-% D” take into account the totality of the detected different scale factors that determine the behavior of the price range and can be used to reduce the risks in the strategy.

The characteristic behavior of the indicator signals and interpretation correspond to the same stochastic properties.

For the convenience of the user given as the original “% K” and “% D”, and upgraded “SSA-% K” and “SSA-% D” evaluation.

Version of “Limited” has some restrictions in the settings, and LED control.

Options

  1. K period – observation period
  2. D period – smoothing period
  3. Slowing – the period of re-smoothing
  4. Algorithm – prediction method
  5. N: Data fragment – a fragment of a number of% K for analysis
  6. Time-dependent lag – window effect of history on the value at the point
  7. % K high-frequency limit – noise filtering option for the treatment of “% K”.
  8. % D frequency limit – parameter smoothing and filtering to construct “% D”.
  9. Forecast smoothing – Smoothing / regularization forecast
  10. Recalculate period – the period of updating the indicator values
  11. Predictable Points – the number of prediction pixels.
  12. BackwardShift – shift the fragment of history back. To set up the model and the forecast according to the known data.
  13. VISUAL OPTIONS – color graphics settings “SSA-% K” and “SSA-% D”.
  14. INTERFACE / Magic Number – an identifier for the application of the indicator included counsel

Explanation of the choice of parameters

High frequence limit defines the level of filtering and suppression “RF noise” in the data. Oscillations, whose contribution does not exceed this level will be filtered out.

BacwardShift for setting an indicator for a particular set of data. By specifying offset, you can compare the forecast with the known values ​​and more accurately select the setting display.

Forecast smoothing – it allows to smooth the results forecast by suppressing the “outliers”, or by “weighting factors”, given the significance of the previous results.

NOTE: If you choose “weight” option smoothing forecast in the first step of calculation of the indicator has four forecasted values ​​for initializing the smoothing stack.

Therefore, the first step requires more computing time. In the next steps that are required.

Magic Number. Connection advisor may result indicator when requesting 8 ( “% K” -Original), 9 ( “% D” -Original), 10 ( “SSA-% K”) and 11 ( “SSA-% D”) buffers.

SSA Stochastic Limited Edition

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