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Ok, I've been trying to build the 40-day linear
regression line (starting from today, going back 40 days) and I can't even seem
to do that.
First, some basic math:
linear line: y = mx + b wherem is the
slope, b is the intercept, and x is the bar #
LRline = Slope * (bar #) + Intercept
Note: Any time I write "Summation", it is the sum
of the variable for i = 1 to N, where N is the period
Slope = [ N*(Summation(X*Y)) - Summation(X) *
Summation(Y) ] / [N * Summation (X^2) - (Summation(X))^2]
OR
Slope = [Summation ((X-MeanX)*(Y-MeanY))] /
[Summation((X-MeanX)^2)]
Intercept = [Summation(Y) - Slope * Summation(X)] /
N
OR
Intercept = MeanY - Slope * MeanX
Based on that, here's the AFL I've implemented so
far. Someone please correct what I'm doing wrong !
<FONT face=Arial
size=2>
// Raff Regression Channels (at least the
beginning <FONT color=#008000
size=2>of it :)
<FONT
size=2>periods = 40;
DaysBack = 0;<FONT
size=1>
// Compute the number of bars in datafile, this
section was developed by Frank Snay
RABars = 0; <FONT
color=#008000 size=1>//initialize
TotalBars = Cum(<FONT
color=#ff00ff>1); //how
many bars in database
FinalBar = <FONT
color=#0000ff>LastValue(TotalBars);<FONT color=#008000
size=1>//number value of last bar
EndDay = FinalBar - DaysBack;<FONT color=#008000
size=1>//for other than 0 DaysBack
StartDay = EndDay - periods+<FONT
color=#ff00ff>1;//starting
point for line
Master1 = IIf(TotalBars
>= StartDay AND TotalBars <= EndDay,<FONT
color=#ff00ff>1,0);<FONT color=#008000
size=1>//defined period
RABars = IIf(Master1,<FONT
color=#0000ff>Ref(RABars,-1)+<FONT
color=#ff00ff>1,0); <FONT color=#008000
size=1>// daily counter in defined period<FONT
size=1>
RABarKntr = <FONT
color=#0000ff>IIf(Master1,<FONT
color=#0000ff>Sum(RABars,periods),0);
//Sum of daily
counts
<FONT color=#000000
size=2>
// Calculate LRLine formula
components
SumX = Sum (RABars,
periods);
SumY = Sum(C,
periods);
SumXY = Sum (C *
RABars, periods) ;
SumXX = Sum (RABars *
RABars, periods);
n = periods;
Slope = (n * SumXY - SumX * SumY) / (n * SumXX -
SumX * SumX );
Intercept = (SumY - Slope * SumX) /
n;
<FONT color=#000000
size=2>
/*
// Other calculation method which yields a
different result ?!
SumX = Sum (RABars, periods);
SumY = Sum(C, periods);
SumXY = Sum (C * RABars, periods) ;
SumXX = Sum (RABars * RABars,
periods);
MeanX = SumX/periods;
MeanY = SumY/periods;
Slope = Sum((RABars-MeanX)*(C-MeanY),
periods);
Intercept = MeanY - slope * MeanX;
*/
// Linear Regression
Line
LRLine = Slope * RABars + Intercept;
LRLine = IIf(RABarKntr >=
1, LRLine,-<FONT
color=#ff00ff>1e10);<FONT color=#008000
size=1>
// Graph the output<FONT
size=1>
MaxGraph=2;<FONT
color=#008000 size=1>
Graph0 = Close; Graph0Style = 1; Graph0Color
=1;
Graph1 =LRLine; Graph1Style = <FONT
color=#ff00ff>1;
//END
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=hbahlool0542@xxxx
href="">hmab1
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 23, 2002 7:07
PM
Subject: [amibroker] Parallel lines for
regression channels ?
Hello,Is it possible in AFL to contruct
parallel lines on either side of a linear regression line ?I'm
trying to build a linear regression channels indicator.The central
line would be the linear regression line. The upper and lower channel
lines are placed equidistant from the center line and parallel to it.The
distance between the central line and the upper line would be equal to
greatest distance between the central line and the highest value.
The distance between the central line and the lower line would be equal to
greatest distance between the central line and the lowest
value.I've been racking my brain, reading through the various AFL
functions, and searching this group !! Is this even possible
?Inputs would be the start date, end date, and variable array (e.g.
Close).Thanks,HBYour
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