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Leslie Walko wrote:
>Anyone out there know of a really really fast Linear Reg.
>Value algorithm coded in EL?
Here's a very fast linear regression slope functions I derived from
something M. Simms (also on this list) wrote:
http://unicorn.us.com/trading/src/_LinRegSlopeSFC.txt
I doubt you'll find one any faster. Once you have the slope, the
y-intercept is easy: just plug one known data point (such as the
mean price and the position of the mean) into y=mx+b (where y=price,
m=slope, x=position [e.g. x bars ago]) and solve for b: b = y - mx.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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