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Aequalsz:
It sounds like you have made some good progress. Would it be possible for
you to either post or send me the source code for the dll?
Bill
----- Original Message -----
From: "aequalsz" <aequalsz@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, September 23, 2003 12:55 PM
Subject: [amibroker] Re: Polynomial fit
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
> Stephane:
>
> I am not referring to a smoothing function (e.g., Gaussian) but
rather
> fitting data(x, y) to a polynomial equation of degree k.
Essentially what
> the POLYNOMIAL function in Excel does. In that case, Excel uses a
least
> squares fit of the data to a polynomial of degree k.
> Bill
>
> ----- Original Message -----
> From: "Stephane Carrasset" <nenapacwanfr@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, September 23, 2003 11:45 AM
> Subject: [amibroker] Re: Polynomial fit
>
>
> Hi bill,
>
> do you refer to :"
> The Gaussian average are computed according to Ehlers ( Easy
Language
> Code)
> One Pole: f = fÑg + (1-fÑ)f[1]
> Two Poles: f = fÑ2g + 2(1-fÑ)f[1] - (1-fÑ)2f[2]
> Three Poles: f = fÑ3g + 3(1-fÑ)f[1] - 3(1-fÑ)2f[2] +
(1-fÑ)3f[3]
> Four Poles: f = fÑ4g + 4(1-fÑ)f[1] - 6(1-fÑ)2f[2] +
4(1-fÑ)3f[3] - (1-
> fÑ)4f[4]
>
> or anything else?
>
> Stephane
>
> > Is anyone aware of code for producing a polynomial fit of price
> data, moving
> > average, etc. written in a translatable language (e.g.,
Metastock)?
> >
> > Thanks.
> >
> > Bill
>
>
>
> Send BUG REPORTS to bugs@xxxx
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Aequalsz has a linear and quadratic least squares fit in MetaStock
which was implemented via the MS Developer's Kit in a C++ dll.
The linear ls is similar to what you see here and in MS, but the
quadratic ls contains quite a few more terms, so it's useful to cast
the problem in terms of matrix algebra. You would then need access
to matrix routines like a solver, triple matrix products, etc.
Using the quadratic ls routine - so far at least - has not convinced
me that it yields a particularly good representation of a stock price
to forecast future prices. And a higher degree polynominal would seem
even more "iffy" to me.
a
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