|
PureBytes Links
Trading Reference Links
|
Hello Ed,
Yes, I used parts of that formula. However,
it plots incorrect results.
Try plotting that one and you'll see what I
mean.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=sharps_45_70@xxxx
href="">Sharps_45_70
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 24, 2002 9:19
AM
Subject: [amibroker] Re: Parallel lines
for regression channels ?
HB,Try working off this formula from the AFL
library.<A
href="">http://www.amibroker.com/library/formula.php?id=106Ed---
In amibroker@xxxx..., "HB" <<A
href="">hbahlool0542@xxxx...> wrote:> 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 where m 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 !> >
// Raff Regression Channels (at least the beginning of it :)> >
periods = 40;> DaysBack = 0;> > // Compute the number of
bars in datafile, this section was developed by Frank Snay> RABars
= 0; //initialize> TotalBars = Cum(1); //how many bars in
database> FinalBar = LastValue(TotalBars);//number value of last
bar> EndDay = FinalBar - DaysBack;//for other than 0 DaysBack>
StartDay = EndDay - periods+1;//starting point for line> Master1=
IIf(TotalBars >= StartDay AND TotalBars <= EndDay,1,0);//defined
period> RABars = IIf(Master1,Ref(RABars,-1)+1,0); // daily counter in
defined period> RABarKntr = IIf(Master1,Sum(RABars,periods),0);
//Sum of daily counts> > // 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;> > /*> // 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,-1e10);> > // Graph the output>
MaxGraph=2;> Graph0 = Close; Graph0Style = 1; Graph0Color =1;>
Graph1 =LRLine; Graph1Style = 1;> > //END>
> ----- Original Message ----- > From:
hmab1 > To: amibroker@xxxx > 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 thiseven
possible ?> > Inputs would be the start date, end
date, and variable array (e.g. > Close).>
> Thanks,> HB> > >
> Yahoo! Groups Sponsor
>
ADVERTISEMENT>
> >
> Your use of Yahoo! Groups is subject to the Yahoo! Terms
of Service.Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|