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Anyone have or wants to develop this indicator? Looks valuable. I know it probably been posted before, but info is scarce. Heres helpful resources. Difficult to wrap my head around these equations, let alone code them in NT8.
ARMA/ARIMA fall into time series forecasting methods. My understanding which is somewhat limited is that it involves offsettings moving averages of various lag lengths to attempt to find correlations, autocorrelation. This seems like it would be more useful for understanding past price action then predicting future action. This would place it in a similar but more statistical/scientific analysis as various cycle methods.
I think you will want ARIMA because markets are non stationary. It just means it takes differences to make the model stationary. I believe the coefficients must be found by optimization method. So, you'd need to run it in the optimizer or by looping.
So the elements of ARIMA are AR order, differencing, MA order.(p,d,q)
"Three items should be considered to determine a first guess at an ARIMA model: a time series plot of the data, the ACF, and the PACF."
Seems to be more complex in decision making, then say straight forward moving average, to forecast correctly.
For the elements you have to estimate coefficients. PACF is best for AR estimation, ACF best for MA.
I think Im trying to jump ahead in understanding how to calculate what. Not really grasping the full picture of the process, which seems there is more to it than simply calculating something in order to obtain a correct forecast. My hang up is in understanding how to compute the coefficients for MA and AR. I think the rest i can learn from the excel example.
