可以使用各种窗口函数来平滑时间序列。窗函数的特性可能彼此完全不同——平滑程度、噪声抑制等。该指标允许您实现主窗口函数并评估它们在金融时间序列上的表现。指标参数:
- iPeriod – 指标周期。 iPeriod >= 2
- iCenter 是窗口函数中心所在的参考索引。默认情况下,此参数为 0 - 窗口中心与指标中心重合。当 1 <= iCenter <= iPeriod 时,窗口函数的中心将移动,因此指标的某些特征将发生变化。在图 1 中,您可以看到中心的选择如何影响窗口功能和指标的显示。此参数可以以 0.5 为增量进行更改。
一些窗口函数使用附加参数 - ParameterA 和 ParameterB。它们会影响窗口权重。正因为如此,指标的特性发生了变化。该表显示了窗口函数和更改参数的限制(如果使用它们)。可以使用脚本 https://www.mql5.com/ru/market/product/72156 估计给定参数的窗口函数权重分布
Window
Parameter A
Parameter B
Bartlett - Hann window
Blackman window
Blackman window exact
Blackman – Harris window
Blackman – Harris window approx.
Blackman – Harris window corr.
Blackman - Harris window opt.
Blackman – Harris window ref.
Blackman - Nuttall window
Bohman window
Cauchy window
0 <= ParameterA
Connes window
1 < = ParameterA
Cosine gen. window 1st
0 <= ParameterA <= 100
Cosine gen. window 2nd
0 <= ParameterA <= 100
Dolph - Chebyshev window
0 <= ParameterA
Flat Top window
Flat Top window approx.
Gauss window
1 < = ParameterA <= 2*iPeriod
Gauss window approx.
1 < = ParameterA <= 2*(iPeriod+1)
Gauss window conf.
1 < = ParameterA <= 2*(iPeriod+1)
Gauss window gen.
1 < = ParameterA <= 2*iPeriod
0 <= ParameterB
Hamming window
Hamming window opt.
Hann window
Hann double window
Hann - Poisson window
0 <= ParameterA
Hyperbolic tangent window
0 <= ParameterA
0 <= ParameterB
Kaiser window
0 <= ParameterA
Kaiser - Bessel window
0 <= ParameterA
Kaiser – Bessel window approx.
Karre window
Lanczos window
Lanczos kernel window
1 <= ParameterA
Log window
1 <= ParameterA
Logistic window
Modified cosine window
Nuttall's window
Parzen window
Planck - Bessel window
0 < = ParameterA <= iPeriod/2
0 <= ParameterB
Plank-taper window
0 < = ParameterA <= iPeriod/2
Poisson window
0 <= ParameterA
Rectangular window
Rife – Vincent 3rd window
Rife – Vincent 4th window
Silverman window
1 <= ParameterA
Sinusoidal windows
0 <= ParameterA
Smoothed rectangular window
0 < = ParameterA <= iPeriod/2
Stepped window
0 <= ParameterA
Triangular window
0 < = ParameterA
Tukey window
0 < = ParameterA <= iPeriod/2
Welch window
1 <= ParameterA