Autocorrelation function of the EURUSD_H1 quotes Let us calculate autocorrelation function of the quotes.įig. However, it is still early to draw a conclusion as we can see the trend suggesting the presence of a deterministic component in the quotes whereas the presence of such component can completely distort the statistical characteristics of the random variable (quotes). We can visually ascertain that the EURUSD _Рќ1 quotes are far from being normally distributed. EURUSD histogram as compared to theoretical normal distribution curve Let us demonstrate it compared to the theory:įig. Visually, the histogram has certainly nothing to do with the normal distribution but the probability of 9.64% gives rise to certain illusions. The probability of our initial quotes to be normally distributed is 9.64%.There is a skew to the right (it should be 0 whereas we have 0.244950).The descriptive statistics suggests that: Let us calculate the descriptive statistics: Therefore we will perform an analysis for stationarity of the initial EURUSD H1 quotes. We can observe either one or numerous trends but our goal is to predict the future stability of the trading system. The Expert Advisor which is going to be reviewed below will take the quotes file from the specified folder when operating in DEMO or REAL modes however when used in testing mode, this file shall be located in the \tester\files\ folder so I am manually placing quotes.txt in the \tester\files\ folder of the terminal. The indicator obviously generates the file quotes.txt in the terminal folder \expert\files\. Also note that the quotes in the file are arranged in the order opposite to that of MQL4, i.e. Bear in mind that I am using Open prices. Having set the dates specified above, I obtained the quotes file consisting of 119 lines, the last line being "Forecast,0" – this is where the future forecast will be. - remove the message from the display Comment( " ") +-+ //| Custom indicator deinitialization function | //+-+ int deinit() +-+ //| Indicator start function | //+-+ int start() - writing quotes FileWrite(Quotes_handle, "Forecast ", 0) // Forecast area FileClose(Quotes_handle) // Close quotes file Comment( "Created quotes file with the number of bars =",Number_Bars+ 1) TimeToStr( iTime( Symbol(), Period(),i)), - abend exit if(Quotes_handle=N_bars_end i-) Quotes_handle= FileOpen(fileQuotes, FILE_CSV| FILE_WRITE, ',') - //- creating quotes file for EViews operation - generating names of files for exchange with EViewsįileQuotes= "kotir.txt" // Quotes file name int N_bars_begin = 0 - indicator name IndicatorShortName( "Forecast") - binding the indicator number to the name SetIndexBuffer( 0,Quotes) // Index buffer //- initial buffer values SetInde圎mptyValue( 0, 0.0) - setting the drawing parameters SetIndexStyle( 0, DRAW_LINE, STYLE_SOLID, 0) - number of indicator buffers IndicatorBuffers( 1) - global variables //- declaring buffers double Quotes // Quotes not visible int Quotes_handle // Pointer to Quotes file int i // Counter in cycle //- names of files for exchange with EViews string fileQuotes // Quotes file name //+-+ //|Indicator initialization function | //+-+ int init() +-+ //| Kotir_Out.mq4 | //| Quotes output indicator for EViews | //| Version of | //+-+ //- indicator in the main window #property indicator_chart_window //- number of visible indicator buffers #property indicator_buffers 1 //- setting the indicator color #property indicator_color1 Red // Forecast //- setting the line width #property indicator_width1 2 //- external parameters extern int Number_Bars= 100 // Number of bars extern string DateTime_begin = "2011.01.01 00:00" Įxtern string DateTime_end = "2011.01.01 00:00" The script of the indicator is shown below and in my opinion needs no comment. For this purpose, I use an indicator superimposed on a relevant chart to generate a required file with quotes.
EVIEWS 10 WFOPEN SERIES
We start off with the analysis of the initial EURUSD series in order to plan the next step.įirst, let us create a file containing quotes for further analysis in EViews. Let us start building a model for EURUSD H1 on the bars over a period of one week from Septemto September 17, 2011.ġ.1. The idea behind it is based on separation of a deterministic component from the initial quotes and a further analysis of the resulting residual. This equation was a result of implementation of the gradual decomposition of the initial Close price quotes.
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