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Prosper,
Linear regression is a least squares fit of a line (ax+b) to a window of
data.
Non linear regression could mean:
1) A linear fit of a set of functions (which themselves could be non-linear)
-or-
2) A least squares error fit of higher order polynomials (quadratic,
cubic...)
(Actually this is a special case of #1).
The Savgol routine in Numerical Recipes does #2 if you are into C/C++.
There are also routines in NRC to do #1.
And yes, filters derived from the last point of a moving non-linear fit are
quite useful in systems.
No, I have not seen code to do these in TradeStation.
Best,
Tim Tillson
----- Original Message -----
From: "Prosper" <brente@xxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Thursday, August 02, 2001 7:08 AM
Subject: TS prescision - question - non-linear regression
> I have always wondered about non-linear regression ever since I heard it
> mentioned some where on the Internet.
>
> First. does anyone have a easy language function for non-linear regression
> that they wouldn't mind sharing?
>
> Second, if linear Regression is least squares, is non-linear regression
most
> squares?
>
> Third, is non-linear regression useful to any of you traders out there?
>
> Prosper
>
>
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