[amibroker] Re: Regression between two price series?

["Mike" <sfclimbers@xxxxxxxxx>]

I suspect that you can do it by taking hints from the Portfolio script found in the the Equity folder of the Charts window.

Here's an idea:

// Use foreign to get the 'other' price

otherPrice = Foreign( "AA", "C" );

// Create a difference array 

difference = Close - otherPrice;

// The following is adapted from Portfolio.afl
// substituting the difference array in place of equity

islastbar = Status( "lastbarintest" );
isfirstbar = Status( "firstbarintest" );
bar = BarIndex();
firstbar = LastValue( ValueWhen( isfirstbar, bar ) );
lastbar = LastValue( ValueWhen( islastbar, bar ) );
al = LastValue( ValueWhen( islastbar, LinRegSlope( difference, lastbar - firstbar + 1 ) ) );
bl = LastValue( ValueWhen( islastbar, LinRegIntercept( difference, lastbar - firstbar + 1 ) ) );
lr = al * ( BarIndex() - firstbar ) + bl;
lr = IIf( bar >= firstbar AND bar <= lastbar , lr, Null );

Plot( Close, "Close", colorGreen );
Plot( otherPrice, "Other", colorBlue );
Plot( lr , "Linear Reg", colorRed, styleThick );

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "ezbentley" <ezbentley@xxx> wrote:
>
> Is there a convenient way to plot the regression line of one price against another price?
>




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