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I think that the use of LinearReg is not the same.
Not like the discription of the Kirshenbaum bands dictates:
LinearReg calculates enpoints of a + b * x and from what I understand of the
Kirshenbaum band needs more then just the endpoints (see discription). So the
code I gave is correct I believe.
The piece of code below shows that the
code does not look into the future.
For instance we have a function with 100 points and
LPeriod = 10.
The last bar = 99, BarCount = 100
going through the i and j loop:
i = 99
j = 0; i - LPeriod + j + 1 =
90
j = 1; i - LPeriod + j + 1 = 91
j = 2; i - LPeriod + j + 1 =
92
j = 3; i - LPeriod + j + 1 = 93
j = 4; i - LPeriod + j + 1 =
94
j = 5; i - LPeriod + j + 1 = 95
j = 6; i - LPeriod + j + 1 =
96
j = 7; i - LPeriod + j + 1 = 97
j = 8; i - LPeriod + j + 1 =
98
j = 9; i - LPeriod + j + 1 = 99
So the last bar that is filled is bar 99.
In the code I use a Cum(1) function so that you can see that the calculated
least square fit exactly matches the function.
SetBarsRequired(10000,10000);
LPeriod = 10;
C = Cum(1);
saveLine =
Null;
aaa = LinRegIntercept(C, LPeriod);
bbb = LinRegSlope(C, LPeriod);
for (i = BarCount - 1; i < BarCount; i++) {
printf( "********* i %g\n", i );
AE = 0;
for (j = 0; j < LPeriod; j++) {
// calculate
point on regression line
RegPoint =
aaa[ i ] + bbb[ i ] * j;
printf( "********* i - LPeriod + j + 1: %g\n", i - LPeriod + j + 1);
// calculate the standard error using the distance from
line
AE = AE + (C[ (i - LPeriod) + j +
1 ] - RegPoint) ^
2;
printf( "********* AE %g\n", AE );
saveLine[ i - LPeriod + j +
1 ] = RegPoint;
}
}
SetChartOptions(0, chartShowDates);
GraphXSpace = 5;
Plot(saveLine,"",colorRed,1);
Plot(saveLine,"",colorYellow,9);
Plot(C,"",colorWhite,1);
Plot(saveLine,"",colorRed,1);
----- Original Message -----
Sent: Sunday, March 05, 2006 9:36
AM
Subject: Re: [amibroker] Help with
Kirshenbaum indicator
ok yes. I was struggling to get the Lin
reg. on the proper bar, I'll have a look. But I think the other guys use
LinReg function. Maybe that is easier and faster.
rgds, Ed
----- Original Message -----
Sent: Sunday, March 05, 2006 12:04
AM
Subject: Re: [amibroker] Help with
Kirshenbaum indicator
Using Tools/Check: "It seems that the
formula references FUTURE quotes....."
Just a heads up.....
Wayne
---- Original Message -----
Sent: Saturday, March 04, 2006 1:23
PM
Subject: Re: [amibroker] Help with
Kirshenbaum indicator
hi,
I changed 1 line in the code. I think it is
good now. See chart below which resembles your original chart very good
(settings I use for that chart are: 5, 7, 4.5)
code:
SetBarsRequired(10000,10000);
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