Nonstationary Time Series Change Direction Forecast Method Using Improved Leading Indicator

This paper presents a method for forecasting the change direction of nonstationary time series using the improved leading indicator. The leading indicator is a method developed by Ehlers that translates a time series mathematically in the future direction with respect to the time axis and calculates the leading value of the time series. However, this method has the problem that the leading value can be calculated only in the low frequency region with a normalized frequency of 0.06 or more (normalized period of 17 or more) at the maximum. In order to solve this problem, by gentle slope the amplitude characteristics in the low frequency region of the leading indicator, it is possible to calculate the leading value in the frequency domain with a normalized frequency of 0.25 or more (normalized period of 4 or more) at the maximum. By applying the preceding value to the instantaneous periodic time series by the improved sine wave indicator developed by Ehlers, it is possible to forecast the change direction of the non-stationary time series in the short term. © 2023 The Institute of Electrical Engineers of Japan.