Version “Stochastic Oscillator” using Singular Spectral Analysis algorithms

SSA is an efficient technique for processing non-stationary time series with an unknown internal structure. It is used for determining the main components (trend, seasonal and wave fluctuations), smoothing and noise suppression. The method allows you to find previously unknown periodicities of a series and make a forecast based on the detected periodic patterns.

The indicator signals are identical to the signals of the original indicator, but they have an important advantage – they do not have a time delay relative to the price dynamics and more accurately and synchronously reflect the variability of the price series behavior. This is achieved due to the fact that the” SSA-%D ” signal is implemented not by a moving average, but by low-frequency filtering using the SSA algorithm. Accordingly, this indicator is spared from such a clear disadvantage as lag.

Configurable noise filtering allows you to significantly reduce the number of false signals typical of the original indicator.

The constructed forecast for” SSA-%K “and” SSA-%D ” takes into account the set of detected multi-scale factors that determine the behavior of a number of prices and can be used to reduce risks in the strategy.

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

For the convenience of the user, both the original “%K” and “%D” and the upgraded “SSA-%K” and “SSA-%D” ratings are given.

The “Limited” version has some limitations in the settings and control parameters of the indicator.

The high frequency limit determines the level of filtering and suppression of “RF noise” in the data. The oscillations whose contribution does not exceed this level will be filtered out.

BacwardShift is designed to adjust the indicator for a specific data series. By setting the Offset, you can compare the forecast with known values and more accurately select the indicator settings.

Forecast smoothing – allows you to smooth the results of the forecast by suppressing “outliers”, or by using” weighting factors”, taking into account the significance of previous results.

REMARK: When selecting the “weight” option for smoothing the forecast, four estimates of the forecast values are performed at the first step of the indicator calculation to initialize the smoothing stack.

Therefore, the first step requires more calculation time. This is not required in the following steps.

Magic Number. You can connect the indicator results to the Expert Advisor when you request 8 (“%K “-original), 9 (“%D “-original), 10 (“SSA-%K”) and 11 (“SSA-%D”) buffers.

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