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nikol


Total Posts: 818
Joined: Jun 2005
 
Posted: 2019-06-29 18:07
All kinds of indicators are filters. Most of them are plain vanilla expectations, like Bollinger bands or ATR or MACD etc.

I can imagine that if I generate BB with set of parameters, for example period={7, 14, 28, 42}, then I can interpolate BB at 10 (with some error, but ok).

Now, can I do the same for Parabolic SAR?

Generally, it follows recursion where SAR_t depends on SAR_t-1 and {OHLC}_t, t-1, t-2 and Long(t-1)/Short(t-1). Long/Short is a state which is triggered by SAR vs High-Low.

How to interpolate that? Any idea/hint?
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