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I have had the temptation to compare the clever implementation of
linregslope credited to Bob Fulks and compare with the linearregslope in
TS2000 for various length values.
Up to 3 , they perfectly match ( price serie used were around 6000), them a
small difference appear, that is rougly constant over length values ( I
tested up to 900 bars length)
The absolute error is up to 3
, for an average slope of 10, means that the TRAD version complies with the
price precison for the relative error that is therefore below 10^-5 on
average.
BUT:
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Bob's version do not use large number as TS version does, so it means that
his version is with no doubt, more precise with the same TS precison used in
both cases.
This is a masterpiece workaround, and I suppose that TRAD should ask him for
a copyright to recode all of the current version using linearregsomething.
They will gain speed that is obvious, and more precision up to TS float
precision.
Just curious, have you found this FIR implementation in a book or by
yourself?
Sincerely,
Pierre Orphelin
www.sirtrade.com
TradeStation Technologies representative in France
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