Burg's Extrapolation Indicator
As the basis of calculation laid Burg's extrapolation method - it's a statistical method that explores the relationship between a dependent variable and one or more independent variables. It combines the method of ordinary least squares and minimization of harmonic mean. In other words, with the renewing data, the previously built model could linearly predict the further behavior of given data in the future.
Applying all of this to trading, let's insert previous open prices in the model and take predicted results as calculation output.
- the model can be built on open prices or their changes;
- model's order, amount of coefficents to calculate;
- the number of bars for prediction;