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I'm not up to speed on AB code...yet. Here's a TSF approach that can work well. Attached is a chart of KLAC, showing triggers on the Forecast Oscillator (same indicator). The Forecast Oscillator is a TSF set to 13 periods (in this example). In this case, whenever price moves more than 11% (in the opposite direction of your position) from the projected linear regression, you reverse your position (all signals are calculated EOD, and position are put on the following opening) . Since 1/1/2000, this has produced results, in KLAC, of 28-9 with a return of $159 (no slippage or commissions). Just thought I'd toss in an approach that, at times, can extract a few pennies.
Take care,
Steve
www.cedarcreektrading.com
----- Original Message -----
From: CS
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 22, 2002 8:24 AM
Subject: Re: [amibroker] Re: Time Series Forecast
"The Time Series Forecast indicator is based on the trend of a security'sprice over a specified time period. The trend is determined by calculating a linear regression trendline using the "least squares fit" method. The least squares fit technique fits a trendline to the data in the chart by minimizing the distance between the data points and the linear regression trendline.
Any point along the Time Series Forecast is equal to the ending value of a Linear Regression trendline plus its slope. For example, the ending value of a Linear Regression trendline (plus its slope) that covers 10 days will have the same value as a 10-day Time Series Forecast. This differs slightly from the Linear Regression indicator (see Linear Regression Indicator) in that the Linear Regression indicator does not add the slope to the ending value of the regression line. This makes the TSF a bit more responsive to short term price changes. If you plot the TSF and the Linear Regression indicator side-by-side, you'll notice that the TSF hugs the prices more closely than the Linear Regression indicator.
Rather than plotting a straight Linear Regression trendline, the Time Series Forecast indicator plots the ending values of multiple Linear Regression trendlines. The resulting Time Series Forecast indicator is sometimes referred to as a "moving linear regression" study or a "regression oscillator.""
I use it as a type of moving average or smoother of other indicators. Sometimes.
-CS
----- Original Message -----
From: Cathy Finnegan
To: amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 21, 2002 5:54 PM
Subject: RE: [amibroker] Re: Time Series Forecast
This looks interesting! I just plotted it,,, What's it supposed to ..er.. indicate.. show.. do??
cathy
-----Original Message-----
From: CS [mailto:csaxe@x...]
Sent: Sunday, April 21, 2002 8:42 PM
To: amibroker@xxxxxxxxxxxxxxx; pacific5_au@xxxx
Subject: Re: [amibroker] Re: Time Series Forecast
See if this gets through.
T1=7; //Periods
Y=C; //array
TSF=LinRegSlope(Y,T1)+((T1*Sum(Cum(1)*Y,T1)-Sum(Cum(1),T1)*Sum(Y,T1))/(T1*Sum((Cum(1)^2),T1)-
(Sum(Cum(1),T1)^2))*Cum(1)+(MA(Y,T1)-MA(Cum(1),T1)*(T1*Sum(Cum(1)*Y,T1)-
Sum(Cum(1),T1)*Sum(Y,T1))/(T1*Sum((Cum(1)^2),T1)-(Sum(Cum(1),T1)^2))));
GraphXSpace=2;
Graph0=TSF;
Graph1=Y;
Title="Time Series Forecast Periods="+WriteVal(T1);
-CS
----- Original Message -----
From: pacific5_au
To: amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 21, 2002 5:08 PM
Subject: [amibroker] Re: Time Series Forecast
Hi CS
Thanks for your post. Unfortunately the file is empty 0 kb when down
loaded. Could you plse re-up the file as a zip file or just post the
code text. (a Yahoo situation.)
Many thanks
pacific
--- In amibroker@xxxx, "CS" <csaxe@xxxx> wrote:
> -CS
> ----- Original Message -----
> From: Owen Davies
> To: amibroker@xxxx
> Sent: Sunday, April 21, 2002 8:25 AM
> Subject: [amibroker] Time Series Forecast
>
>
> Has anyone coded this Metastock indicator for AmiBroker?
> According to the Equis Help description, it's the end point of
> the linear regression line plus the slope. Not something I'm
> competent enough to produce for AB, alas.
>
> Thanks.
>
> Owen Davies
>
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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<DIV><FONT face=Arial size=2>
<DIV><FONT face=Arial size=2>CS & list,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>I'm not up to speed on AB code...yet. Here's
a TSF approach that can work well. Attached is a chart of KLAC, showing
triggers on the Forecast Oscillator (same indicator). The Forecast
Oscillator is a TSF set to 13 periods (in this example). In this case,
whenever price moves more than 11% (in the opposite direction of your position)
from the projected linear regression, you reverse your position (all signals are
calculated EOD, and position are put on the following opening) . Since
1/1/2000, this has produced results, in KLAC, of 28-9 with a return of $159(no
slippage or commissions). Just thought I'd toss in an approach that, at
times, can extract a few pennies.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Take care,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Steve</FONT></DIV>
<DIV><FONT face=Arial size=2><A
href="http://www.cedarcreektrading.com";>www.cedarcreektrading.com</A></FONT></DIV>
<DIV></FONT>----- Original Message ----- </DIV></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
CS </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:amibroker@xxxxxxxxxxxxxxx";
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Monday, April 22, 2002 8:24
AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> Re: [amibroker] Re: Time Series
Forecast</DIV>
<DIV><BR></DIV>
<DIV><FONT size=2>"The Time Series Forecast indicator is based on the trend of
a security's price over a specified time period. The trend is determined
by calculating a linear regression trendline using the "least squares fit"
method. The least squares fit technique fits a trendline to the data in
the chart by minimizing the distance between the data points and the linear
regression trendline. <BR>Any point along the Time Series Forecast is
equal to the ending value of a Linear Regression trendline plus its
slope. For example, the ending value of a Linear Regression trendline
(plus its slope) that covers 10 days will have the same value as a 10-dayTime
Series Forecast. This differs slightly from the Linear Regression
indicator (see Linear Regression Indicator) in that the Linear Regression
indicator does not add the slope to the ending value of the regression
line. This makes the TSF a bit more responsive to short term price
changes. If you plot the TSF and the Linear Regression indicator
side-by-side, you'll notice that the TSF hugs the prices more closely than the
Linear Regression indicator.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Rather than plotting a straight Linear Regression trendline,
the Time Series Forecast indicator plots the ending values of multiple Linear
Regression trendlines. The resulting Time Series Forecast indicatoris
sometimes referred to as a "moving linear regression" study or a "regression
oscillator.""</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>I use it as a type of moving average or smoother of other
indicators. Sometimes.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>-CS</DIV>
<DIV><BR></DIV></FONT>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A href="mailto:caeriel1@xxxx"; title=caeriel1@xxxxx>Cathy
Finnegan</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:amibroker@xxxxxxxxxxxxxxx";
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Sunday, April 21, 2002 5:54
PM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> RE: [amibroker] Re: Time
Series Forecast</DIV>
<DIV><BR></DIV>
<DIV><SPAN class=464245200-22042002><FONT color=#0000ff face=Arial
size=2>This looks interesting! I just plotted it,,, What's
it supposed to ..er.. indicate.. show..
do??</FONT></SPAN></DIV>
<DIV><SPAN class=464245200-22042002><FONT color=#0000ff face=Arial
size=2></FONT></SPAN> </DIV>
<DIV><SPAN class=464245200-22042002><FONT color=#0000ff face=Arial
size=2>cathy</FONT></SPAN></DIV>
<BLOCKQUOTE>
<DIV align=left class=OutlookMessageHeader dir=ltr><FONT face=Tahoma
size=2>-----Original Message-----<BR><B>From:</B> CS
[mailto:csaxe@x...]<BR><B>Sent:</B> Sunday, April 21, 2002 8:42
PM<BR><B>To:</B> <A
href="mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A>; <A
href="mailto:pacific5_au@xxxx";>pacific5_au@xxxx</A><BR><B>Subject:</B>
Re: [amibroker] Re: Time Series Forecast<BR><BR></FONT></DIV>
<DIV><FONT size=2>
<DIV><FONT size=2>See if this gets through.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>
<P><FONT color=#0000ff>T1=7; //Periods</FONT></P>
<P><FONT color=#0000ff>Y=C; //array</FONT></P>
<P><FONT
color=#0000ff>TSF=LinRegSlope(Y,T1)+((T1*Sum(Cum(1)*Y,T1)-Sum(Cum(1),T1)*Sum(Y,T1))/(T1*Sum((Cum(1)^2),T1)-</FONT></P>
<P><FONT
color=#0000ff>(Sum(Cum(1),T1)^2))*Cum(1)+(MA(Y,T1)-MA(Cum(1),T1)*(T1*Sum(Cum(1)*Y,T1)-</FONT></P>
<P><FONT
color=#0000ff>Sum(Cum(1),T1)*Sum(Y,T1))/(T1*Sum((Cum(1)^2),T1)-(Sum(Cum(1),T1)^2))));</FONT></P>
<P><FONT color=#0000ff>GraphXSpace=2;</FONT></P>
<P><FONT color=#0000ff>Graph0=TSF;</FONT></P>
<P><FONT color=#0000ff>Graph1=Y;</FONT></P>
<P><FONT color=#0000ff>Title="Time Series Forecast
Periods="+WriteVal(T1);</FONT></P></FONT></DIV>
<DIV><FONT size=2>-CS</FONT></DIV></FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A href="mailto:pacific5_au@xxxx";
title=pacific5_au@xxxx>pacific5_au</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:amibroker@xxxxxxxxxxxxxxx";
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Sunday, April 21, 20025:08
PM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [amibroker] Re: Time
Series Forecast</DIV>
<DIV><BR></DIV><TT>Hi CS<BR><BR>Thanks for your post. Unfortunatelythe
file is empty 0 kb when down <BR>loaded. Could you plse re-up the file
as a zip file or just post the <BR>code text. (a Yahoo
situation.)<BR><BR>Many thanks<BR><BR>pacific<BR><BR>--- In <A
href="mailto:amibroker@xxxx";>amibroker@xxxx</A>..., "CS" <<A
href="mailto:csaxe@xxxx";>csaxe@xxxx</A>...> wrote:<BR>>
-CS<BR>> ----- Original Message -----
<BR>> From: Owen Davies <BR>> To: <A
href="mailto:amibroker@xxxx";>amibroker@xxxx</A>... <BR>> Sent:
Sunday, April 21, 2002 8:25 AM<BR>> Subject: [amibroker]
Time Series Forecast<BR>> <BR>> <BR>> Has anyone
coded this Metastock indicator for AmiBroker?<BR>>
According to the Equis Help description, it's the end point
of<BR>> the linear regression line plus the slope.
Not something I'm<BR>> competent enough to produce for
AB, alas.<BR>> <BR>> Thanks.<BR>>
<BR>> Owen Davies<BR>> <BR>> <BR>>
Your use of Yahoo! Groups is subject to the Yahoo! Terms of
<BR>Service.<BR><BR></TT><BR><BR><TT>Your use of Yahoo! Groups is
subject to the <A href="http://docs.yahoo.com/info/terms/";>Yahoo!Terms
of Service</A>.</TT> <BR></BLOCKQUOTE><BR><BR><TT>Your use of Yahoo!
Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</TT>
<BR></BLOCKQUOTE><BR><BR><TT>Your use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</TT>
<BR></BLOCKQUOTE><BR><TT>Your use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</TT>
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