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I tried to duplicate the LinRegIntercept( ARRAY, periods )
example from the 4.50 users guide.I used as example the
C1=MA(RSI(50),200).The error was calculated from
Cum(abs(y-C1)).
C1=MA(RSI(50),200);Plot(C1,"C1",1,1); x = Cum(1);lastx
= LastValue( x ); Daysback = LASTX-ValueWhen(Cum(IsTrue(C1))==1,X); aa =
LastValue( LinRegIntercept( C1, Daysback) );bb = LastValue( LinRegSlope( C1,
Daysback ) );y = Aa + bb * ( x - (Lastx - DaysBack) ); Plot( IIf( x
>= (lastx - Daysback), y, -1e10 ), "LinReg", colorRed,8 );
Title=Name()+"\nLine="+WriteVal(aa,1.1)+"+"+WriteVal(bb,1.3)+"*(t-t1)"+"\nError="+WriteVal(Cum(abs(y-C1)),1.0);start=Cum(IsTrue(C1))==1;PlotShapes(shapeUpTriangle*start,colorWhite);
My analytic
codet=Cum(1)-1;tmax=LastValue(t);C1=MA(RSI(50),200);Plot(C1,"C1",1,1);C1max=1.5*LastValue(ceil(Highest(C1)));C1min=0.5*LastValue(floor(Lowest(C1)));start=Cum(IsTrue(C1))==1;t1=ValueWhen(start,t);PlotShapes(shapeUpTriangle*start,colorWhite);C10=ValueWhen(start,C1);d0=Param("d0",-0.03,-0.03,-0.005,0.005);Line0=C10+d0*(t-t1);d1=-d0;Line1=C10+d1*(t-t1);Error0=LastValue(Cum(abs(C1-Line0)));Error1=LastValue(Cum(abs(C1-Line1)));Err=Max(Error0,Error1);Title=Name()+"\nInitial
Error="+WriteVal(err,1.0);stepi=0.1;stepj=0.001;j1=d1;j0=d0;for(i=C1min;i<=C1max;i=i+stepi){for(j=j0;j<=j1;j=j+stepj){Line=i+j*(t-t1);err1=LastValue(Cum(abs(C1-Line)));if(err1<err)err=Min(err,err1);}}Title=Title+"\nMinError="+WriteVal(err,1.0);iA=0;jA=0;for(i=C1min;i<=C1max;i=i+stepi){for(j=j0;j<=j1;j=j+stepj){Line=i+j*(t-t1);err1=LastValue(Cum(abs(C1-Line)));if(err1==err){Plot(Line,"\n"+WriteVal(j,1.4),colorRed,8);Title=Title+"\n\nLine="+WriteVal(i,1.1)+"+"+WriteVal(j,1.3)+"*(t-t1)";iA=i;jA=j;}}}Title=Title+"\nFirst
Approx [iA,jA]=["+WriteVal(iA,1.1)+","+WriteVal(jA,1.3)+"]";
gave, in many cases, smaller error.Is there any
explanation ?Dimitris Tsokakis
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