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Dan,
Try a weighted average of 2 LinearRegression's like:
Composite = 2*LR(10) + 1*LR(20) / 3
Put in lengths&weights appropriate for your time frame. Backtesting
this will of course drive you crazy ! :)
Ed
--- In amibroker@xxxxxxxxxxxxxxx, "d_hanegan" <dhanegan@xxx> wrote:
>
> Thanks, Ed. I was hoping to find something that was not quite as
> jumpy as a linear regression line. I had typed Closing prices into
> Excel and charted Poly Lines and it looks like it has SOME promise.
> I also checked out the threads on Sigma Bands and they too SEEM to
> have some viability. I am not sure how helpful it would truly be to
> have either. I'm just after the cat and looking for other ways to
> skin it. Thanks again for your input.
>
> Dan
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@>
> wrote:
> >
> > I have written a least squares fit to a quadratic equation. It was
> > quite difficult due to the computation of the coefficient of the
> x^2
> > term. The problem is that AB uses single precision math, and the
> > computation would 'blow up' every so often because the coeff of
> x^2 is
> > the difference between two very large numbers.
> >
> > I used the technique of Gaussian Elimination and had to create a
> > separate time base to prevent the 'blow up's.
> >
> > Then, if you want to do backtesting, it is necessary to extract
> arrays
> > of price data n-days back, then align and load them in with the
> > artificial time base array before you start the Gauss. It is really
> > quite messy, but I was able to make it work eventually.
> >
> > So of course the REAL question is if it works better than - say - a
> > linear regression which Tomasz has kindly pre-programmed for us.
> > Being slightly 'bendy' because it is a section of a parabola,
> entries
> > occur a bar or two earlier, and exits are similarly. Whipsaws are
> > also a little increase because of the flexability. In all, it
> works
> > better than a linear regression, but not a lot better.
> >
> > The code is not available - as it is used commercially.
> >
> > ReefBreak
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "d_hanegan" <dhanegan@> wrote:
> > >
> > > Hello All:
> > >
> > > Sigma Bands aside, has anyone seen or done any work on nth order
> > > Polynomial Trendlines?
> > >
> > > Thanks.
> > >
> > > Dan
> > >
> >
>
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