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Corey,
Thanks for the reply. I like your wave analogy. I haven't used lin reg in
Metastock, but have used it extensively elsewhere, and was surprised that
the MetaStock implementation appeared to have no predictive capability i.e.
one can't explicitly look at a value say 5 bars into the future - thus
thought maybe I had its particular implementation around my neck.
I suspect I should given a rather longer explanation of what I was getting
at. I was looking for an answer which was as simple as last bar on chart
based on n periods back, or the number of bars back was the same as the
number forward (less likely) or the number of bars back was set implicitly.
Thus, humble apologies.
This prompts question, have you tried using the robust statistic? I've not
rigorously tried it for use in smoothing price as an input to an indicator,
but have found that it gives superior results for volatility /EOD exposure
calculations.
Many thanks
DJ.
. ----- Original Message -----
From: "C.S." <csaxe@xxxxxxx>
To: "MetaStock List" <metastock@xxxxxxxxxxxxx>
Sent: Thursday, October 18, 2001 7:29 PM
Subject: Re: hello from a newbie - Now Lin Reg
> David,
> I will give it a try, at least how I see it. You should really go to a
> library to find a book on Basic Statistics. I have found that at least a
> basic grasp of statistics is essential to technical analysis so you can
> accurately judge if one indicator or system is really "better" than
another,
> and by how much. It also speeds the development of an indicator since you
> will have a grasp of what is really being measured and can zero in on a
> specific path for improvement for an indicator, rather than blindly
plugging
> numbers into an equation and wasting your time.
>
> Imagine standing at the beach and watching the waves roll in. You find a
> nice flat board 13 feet (periods) long, and throw it lengthwise into the
> surf so the ends of the board extend from one wave crest to the next. The
> ends of the board will slightly sink into the wave crests while the middle
> of the board will rise slightly above the trough between the crests. The
> board is trying to find a true sort of average of the level of the ocean
as
> it sees it from its 13 foot (period) world.
>
> If the height and shape of both waves are the same, the surface of the
board
> will be level. Obviously, if one wave crest is higher or broader than the
> other, that end of the board will be higher than the other. The board will
> be sloped from horizontal.
>
> If we had attached a felt-tip pen to one end of the board and let it mark
> the motion of the end of the board onto some paper (yeah, waterproof), we
> would see the result of the movement of the end of the board as waves
moved
> under it. Although linear regression uses a straight line to form our
board,
> MetaStock graphs the line that would result from the end of that board as
it
> moves over the crests and troughs of the close of prices. If we had thrown
a
> shorter board into the surf, it would pitch up and down and show a larger
> range of slope changes than the longer board. The pen attached to the
> shorter board will also more closely graph the shape of the waves. The
> analogy of the difference between a small boat and a supertanker in a
storm
> could also be used.
>
> If the foregoing has completely confused you, just do the following:
> 1. Open a chart of prices and double-click directly on the prices to
change
> the price style to line.
>
> 2. Go to Insert, and line studies, and draw a 13 period linear regression
> line onto the prices anywhere on the graph.
>
> 3. Go to Indicator Quicklist and select Linear Regression Indicator. Put a
> 13 period indicator onto the prices.
>
> 4. Click directly on the 13 period line study bar that you drew in #2, and
> holding down the left mouse button, slide it left and right over the
prices.
>
> 5. Cool, eh? Notice that the right end of the linear regression line study
> bar perfectly traces out the line that was graphed by the 13 period Linear
> Regression Indicator from the Quicklist.
>
> 6. Get back to the beach and offer a cold one to that gorgeous blonde that
> helped you find the boards.
>
> -Corey Saxe
>
>
>
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