Linear regresion may have less delay (all filters
have delay) ... but you may choose to use MA, EMA, Linear Regression etc
...
If it seems like they all work ... then it does not
matter. Try them .. you may get better results with one vs another. LR may allow
you more statistical analysis, but I doubt you really want to make a big case
out of this .. your application seems pretty straight forward....
----- Original Message -----
Sent: Friday, September 05, 2008 4:33
PM
Subject: Re: [amibroker] How to calculate
a slope % with Rsquared without a loop?
Hmm... BTW, what's the difference between a simple MA and a
Linear regression... From a practical point of view? They look very much
alike when plotted! Thanks again! Louis
2008/9/5 Louis P. <rockprog80@xxxxxxxxx>
@Tomasz: I plotted this code on a 2-minute chart, and
unfortunately half the result was 1.#INF On a daily chart, however,
got results between 0 and 2. Still wondering how to use this stuff,
but thanks anyway. @Ara: I will work on your step 4 and 5. I
know nothing about how to use LinearReg so that will be lot of fun I
guess. But that's a good place to start I believe and thank you for
your help. I just don't know yet how to incorporate the linear reg and
the C<0.9*HHV part to be honest. But I will try...
Thanks, Louis
2008/9/5 Ara Kaloustian <ara1@xxxxxxxxxx>
I think the best solution would come from
linear regression ... along with some help from smoothing
perhaps.
The concept would be that you first qualify a
setup.
Exapmle:
You want 10% drop from HHV in a particular
amount of time ... maximum number of bars. (MinBars to
MaxBars)
1. Close < 0.9 *
HHV(High,Maxbars); // 10 % drop in
less then Numbars bars
2. BarsPast =
HHVBars(High,Maxbars); // Bars since HHV
3. MinBars <
BarsPast;
// Insure that a minimum number of bars since HHV
4. Draw regression line -
Plot(LinearReg(array,period) .... )
5. Evaluate slope of regression
line
slope = RL -
Ref(RL,-1) / Ref(RL,-1); // Slope at any
point on the line
6. You can decide how to alternately evaluate
to slope .... max or min slope value ...etc
You may also use a smoothed price array
instead of actual prices by using price = (H+L+C+O) / 4 or (H+L) / 2 .
Hope this gets you closer to your
objective.
-----
Original Message -----
Sent:
Friday, September 05, 2008 11:00 AM
Subject:
Re: [amibroker] How to calculate a slope % with Rsquared without a
loop?
Hi, @Joe Landry: Thanks for the tips. I'm not
sure how the K-ratio can help on this, but if it can
help... @Ara: I'm sorry if what I said was not clear. What
I want to do is to calculate a % pullback from a HHV of a stock but I
want the slope to be "smooth", that is, I am not happy to see a 5 or 10%
pullback but would like to see a 5 or 10% pullback with a particular
slope inclination. That is: if the stock dropped 10% in a
day is not the same as if it quietly lost 0.5% for 20 days (would not be
exactly 10%, but this is an image). You understand what I
mean? I want the slope to be as smooth as possible with a
particular inclation %. Is this
possible? Thanks, Louis
2008/9/5 Ara Kaloustian <ara1@xxxxxxxxxx>
Louis,
I am not quite sure what you mean by "a
smooth slope".
Do you want to have a plot of prices that
are smoothed ... as you would gt with a filter??
OR do you want a computed value of slope
at some particular point? ... if so at what point ... or do you want a
plot of the slope ... etc
If you can be moe specific that would be
halpful!
A
-----
Original Message -----
Sent:
Friday, September 05, 2008 8:41 AM
Subject:
Re: [amibroker] How to calculate a slope % with Rsquared without a
loop?
Hi, Linear function is my big problem. I'm
so weak using that. What is the difference between using this
and doing it the other way? BTW, how would you set the number
of bars in the current:
HHVBars(Var,period); // Find number of
bars - distance from HHV to current bar
%slope = ((Highest high - currentclose)
/ Highest high) / number of bars *
100;
Thanks,
Louis
2008/9/4 Ara Kaloustian <ara1@xxxxxxxxxx>
You can also use linearray to draw a
stright line from HHV to current point.
Look up LinearReg
function
-----
Original Message -----
Sent:
Thursday, September 04, 2008 10:37 AM
Subject:
Re: [amibroker] How to calculate a slope % with Rsquared without
a loop?
Try this:
HHV(Var,period); //
find value of highest high
HHVBars(Var,period); // Find number
of bars - distance from HHV to current bar
%slope = ((Highest high -
currentclose) / Highest high) / number of bars *
100;
You may choose to define slope in a
different way, but this is the basic structure
A
-----
Original Message -----
Sent:
Thursday, September 04, 2008 9:34 AM
Subject:
Re: [amibroker] How to calculate a slope % with Rsquared
without a loop?
Hi, Thanks for your response. I
should have said I want to calculate a slope from a high
point; I'd like to get a smooth slope from a HHV... How would
you do that? Thanks a lot! Louis
2008/9/4 Ara Kaloustian <ara1@xxxxxxxxxx>
%slope = (variable -
Ref(Variable,-x) ) / Ref(Variable,-x) * 100;
-----
Original Message -----
Sent:
Thursday, September 04, 2008 9:20 AM
Subject:
[amibroker] How to calculate a slope % with Rsquared
without a loop?
Hi,
I was wondering how to calculate
the % of a slope without doing any loop. Anybody has
any idea?
Thanks,
Louis
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