Linear Extrapolation

14 ก.พ. 2018

Basic extrapolator for forecast a time-series, all forecasts are mades length periods ahead.





This is not a estimation of the exact price

This should only be used for forecasting direction, dont expect the price to be at the same value of its forecast.

Bias, Mean absolute error, Mean percentage error...etc look useless here, its better to use correlation as a accuracy measurement.

Correlation(Forecast[length],close,period)



Rescaling for a better forecast ?

Transforming a non-stationary signal to a stationary signal can increase the forecasting accuracy, this can be done by detrending. Here is a list of somes detrending methods:

Auto-Bias : price - price[period]

Mean-Bias : price - price moving average

Log transform : log(price/price moving average)

Correlation : correlation(price,n,period)