Quote:
Originally Posted by oR4z0r
Be careful with what you're seeing there. The weighted-fitting approach is actually forecasting the past. What you need is the correlation between a clearly defined span of out-of-sample future compared to the last weight adjustment using a certain amount of latest historical data.
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Understand that. This is just a test. If its working, I just add this as a filter of signal in my EA rather than depend on this to build my EA.