Re: [amibroker] How to calculate a slope % with Rsquared without a loop?, AmiBroker Email List Archive

Hi again,

Here is what I've done so far:

higher= HHV(H,20);
RL= LinearReg (higher,20);
slope= ((RL - Ref(RL,-1)) / Ref(RL,-1))*100;

Ok so with this I first get the value of the highest high of the last 20 periods. Then I do a Linear regression of this High (is it correct or should I do a LR from the date/time of that High?). Then I calculate the slope. Are you sure about the -1 value? Cause the result is not really meaningful. I can have a very negative value and then 3-4 bars later (when we are out of the latest HHV bar that was in the last 20 bars) then the result is much higher. Do you think this formula looks good?

Also, how do you do to calculate the minbars<barspast?

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 -----

From: Louis P.

To: amibroker@xxxxxxxxxxxxxxx

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 -----

From: Louis P.

To: amibroker@xxxxxxxxxxxxxxx

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 -----

From: Ara Kaloustian

To: amibroker@xxxxxxxxxxxxxxx

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 -----

From: Louis P.

To: amibroker@xxxxxxxxxxxxxxx

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 -----

From: Louis P.

To: amibroker@xxxxxxxxxxxxxxx

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