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Here is text file of indicator and function which you can
cut and paste into whatever TS system you are using.
Clyde
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105 Office: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
Details at: www.theswingmachine.com
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{
Indicator: PolyFit_Proj
}
Input: Price(C), {Price data to fit polynomial to and project }
DegPoly(3), {Degree of polynomial to fit -- max=7 }
ChanWidth(5), {Percent of price to setup for channel lines }
{Negative = multiplier of 21 bar AvgTrueRange}
NumPoint(25), {Number of data points to use in fit--max=53 }
NPointPd(0); {Number of points forward to predict price }
Input: EndDate(0); {Ending date for computation of coefficients }
{
SmoLeng(0); {Number of points in T3Average filter }
}
Array: CoefAry[12](0);
Vars: EndKnt(0), IsEnd(False), HoldBar(0), ATR21(AvgTrueRange(21)),
ChanWide(0), ChanMult(Iff(ChanWidth<0,-ChanWidth,ChanWidth*.01));
If EndKnt=0 Or IsEnd=False then Value1=PolyFit_Project(Price, DegPoly, NumPoint, NPointPd);
IsEnd = Date>EndDate and EndDate<>0;
If ChanWidth<0 then begin
ATR21=AvgTrueRange(21);
ChanWide=ATR21*ChanMult;
End
Else ChanWide=Average(c,51)*ChanMult;
{
If SmoLeng>0 then Value2=T3Average(Value1,SmoLeng)
Else Value2=Value1;
If SmoLeng>0 then begin
Value2=Average(Value1,SmoLeng);
Plot2[-NPointPd+IntPortion(SmoLeng/2+.5)](Value2,"CMA");
End;
}
If IsEnd and LastBarOnChart=False then begin
If HoldBar=0 then HoldBar=CurrentBar;
Value1=PolyFit_Project(Price, DegPoly, NumPoint, CurrentBar-HoldBar);
Plot1[-(CurrentBar-HoldBar)-NPointPd](Value1,"EstPrice");
End
Else If LastBarOnChart then begin
If HoldBar=0 then HoldBar=CurrentBar;
If EndKnt<MaxBarsForward then begin
EndKnt=0;
For Value2=0 downto -(MaxBarsForward-NPointPd) begin
Value1=PolyFit_Project(Price, DegPoly, NumPoint, CurrentBar-HoldBar+EndKnt+NPointPd);
Plot1[-(CurrentBar-HoldBar)-EndKnt-NPointPd](Value1,"EstPrice");
Plot2[-(CurrentBar-HoldBar)-EndKnt-NPointPd](Value1+ChanWide,"Est+C");
Plot3[-(CurrentBar-HoldBar)-EndKnt-NPointPd](Value1-ChanWide,"Est-C");
EndKnt=EndKnt+1;
End;
End;
End
Else begin
Plot1[-NPointPd](Value1,"EstPrice");
Plot2[-NPointPd](Value1+ChanWide,"Est+C");
Plot3[-NPointPd](Value1-ChanWide,"Est-C");
End;
{
Function: PolyFit_Proj
}
Input: Price(NumericSeries), {Price data to fit polynomial to and project }
DegPolyI(NumericSimple), {Degree of polynomial to fit -- max=11 }
NumPointI(NumericSimple), {Number of data points to use in fit }
NPointPdI(NumericSimple); {Number of points forward to predict price }
{ PROGRAM LPOLYNOM}
{C ----------------------------------------------------------------}
{C Alg5"2.for FORTRAN program for implementing Algorithm 5.2}
{C }
{C NUMERICAL METHODS: FORTRAN Programs, (c) John H. Mathews 1995}
{C To accompany the text:}
{C NUMERICAL METHODS for Math., Science & Engineering, 2nd Ed, 1992}
{C Prentice Hall, Englewood Cliffs, New Jersey, 07632, U.S.AX.}
{C Prentice Hall, Inc.; USA, Canada, Mexico ISBN 0-13-624990-6}
{C Prentice Hall, International Editions: ISBN 0-13-625047-5}
{C This free software is compliments of the author.}
{C E-mail address: in%"mathews@xxxxxxxxxxxxx"}
{C }
{C Algorithm 5.2 (Least Squares Polynomial).}
{C Section 5.2, Curve Fitting, Page 278}
{C ----------------------------------------------------------------}
{
SUBROUTINE SOLVELI(Price,NumPoint,AX,BX,DegPoly,CX)
INTEGER Col,IX,JX,KX,DegPoly,IP,RX,Row,T
REAL AX,BX,CX,XX,Price,PX,Sum,Pow,Prod,XK,YK,Err,Z1
DIMENSION AX(1:8,1:8),BX(1:8),CX(1:8),Price(1:53)
DIMENSION Row(1:7),ZX(1:7)
DIMENSION Pow(0:14)
}
Vars: NumPoint(AbsValue(NumPointI)),
DegPoly (iff(NumPoint<=DegPolyI,NumPoint-1,DegPolyI)),
NPointPd(AbsValue(NPointPdI));
Vars: Col(0),IX(0),JX(0),KX(0),IP(0),RX(0),Temp(0);
Vars: XX(0),PX(0),Sum(0),Prod(0),XK(0),YK(0),Z1(0);
Array: AX[12,12](0),BX[12](0),CX[12](0),Row[12](0),ZX[12](0),Pow[24](0) ;
{C FILL MATRIX FIRST}
If NumPoint=0 then Sum=Price
Else begin
FOR RX=1 TO DegPoly+1 BEGIN
BX[RX]=0;
END;
FOR KX=1 TO NumPoint BEGIN
YK=Price[NumPoint-KX];
XK=KX;
Prod=1;
FOR RX=1 TO DegPoly+1 BEGIN
BX[RX]=BX[RX]+YK*Prod;
Prod=Prod*XK;
END;
END;
FOR JX=1 TO 2*DegPoly BEGIN
Pow[JX]=0;
END;
Pow[0]=NumPoint;
FOR KX=1 TO NumPoint BEGIN
XK=KX;
Prod=KX;
FOR JX=1 TO 2*DegPoly BEGIN
Pow[JX]=Pow[JX]+Prod;
Prod=Prod*XK;
END;
END;
FOR RX=1 TO DegPoly+1 BEGIN
FOR Col=1 TO DegPoly+1 BEGIN
AX[RX,Col]=Pow[RX+Col-2];
END;
END;
{C NOW SOLVE FOR COEFFICIENTS}
FOR JX=1 TO DegPoly+1 BEGIN
Row[JX]=JX;
END;
FOR IP=1 TO DegPoly BEGIN
FOR KX=IP+1 TO DegPoly+1 BEGIN
IF ABSValue(AX[Row[KX],IP])>ABSValue(AX[Row[IP],IP]) THEN BEGIN;
Temp=Row[IP];
Row[IP]=Row[KX];
Row[KX]=Temp;
END;
END;
FOR KX=IP+1 TO DegPoly+1 BEGIN
AX[Row[KX],IP]=AX[Row[KX],IP]/AX[Row[IP],IP];
FOR Col=IP+1 TO DegPoly+1 BEGIN
AX[Row[KX],Col]=AX[Row[KX],Col]-AX[Row[KX],IP]*AX[Row[IP],Col];
END;
END;
END;
ZX[1]=BX[Row[1]];
FOR KX=2 TO DegPoly+1 BEGIN
Sum=0;
FOR Col=1 TO KX-1 BEGIN
Sum=Sum+AX[Row[KX],Col]*ZX[Col];
END;
ZX[KX]=BX[Row[KX]]-Sum;
END;
CX[DegPoly+1]=ZX[DegPoly+1]/AX[Row[DegPoly+1],DegPoly+1];
{If LastBarOnChart and NPointPd=0 then print(date,time,DegPoly,ZX[DegPoly+1],AX[Row[DegPoly+1],DegPoly+1]);}
FOR KX=DegPoly DOWNTO 1 BEGIN
Sum=0;
FOR Col=KX+1 TO DegPoly+1 BEGIN
Sum=Sum+AX[Row[KX],Col]*CX[Col];
END;
CX[KX]=(ZX[KX]-Sum)/AX[Row[KX],KX];
END;
{C NOW COMPUTE NEXT POINT IN SERIES AND RETURN}
Sum=CX[DegPoly+1];
FOR KX=DegPoly DOWNTO 1 BEGIN
Sum=CX[KX]+Sum*(NumPoint+NPointPd);
END;
END;
PolyFit_Project=Sum;
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