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Will do! Thanks, Ed.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@xxx>
wrote:
>
> 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@> 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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