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All, I know linear regression has been discussed multiple times here
and I have this piece of code:
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P = ParamField("Price field",-1);
Daysback = Param("Period for Liner Regression Line",21,1,240,1);
shift = Param("Look back period",0,0,240,1);
// Math Formula
x = Cum(1);
lastx = LastValue( x ) - shift;
aa = LastValue( Ref(LinRegIntercept( p, Daysback), -shift) );
bb = LastValue( Ref(LinRegSlope( p, Daysback ), -shift) );
y = Aa + bb * ( x - (Lastx - DaysBack +1 ) );
This works fine for "plotting" but I would like to develop a system to
backtest some of these conditions... the problem seems to be on the:
x= Cum(1); ... I'm not an expert coder but this only considers the
last bar...
What should I use in order to have this working in backtest mode? or,
for the last bar to be the current bar being backtested..
Sorry, very confused here.
Thanks.
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