What does the LookBack feature do?
Best Regards
Rick Osborn
--- On Tue, 4/27/10, brucet30 <bruce...@yahoo.com> wrote:
From: brucet30 <bruce...@yahoo.com>
Subject: [amibroker] Re: linear regression function
To: amibroker@yahoogroups.com
Date: Tuesday, April 27, 2010, 1:27 PM
Thanks, this is what I was looking for.
--- In amibro...@yahoogrou ps.com, "reefbreak_sd" <reefbreak_sd@ ...> wrote:
>
> This is a Linear Reg fit using the equations from "Standard Math Tables"
> published by CRC. The Y axis uses the array 'Prc', the X axis uses the array
> 'X'. You can put any values you want into those two arrays.
>
> To get it to work you need to 'Insert' it into a Chart Window
> then click on the last bar.
> The answers come out in the Interpretation window.
> This was coded for comfort - not for speed.
> Watch out for line wraps
>
>
> //Linear Regression Fit with Standard Error function;
> // Ed Hoopes
> // April 2008
> // Rev A - Started with QFit
>
>
> // ************ ********* ********* * Linear Regression Fit ************
> ********* *******;
>
> Pers = Param("Periods" , 20, 5, 200, 1 );
> LookBack = Param("Look Back", 0, 0, 500, 1 );
>
> SetBarsRequired( 100 );
>
> //Prc = (Open + High + Low + Close ) / 4 ;
> Prc = Close;
>
> //Initialize variables;
> SUMX = 0.00; SUMY = 0.00;
> SUMXY = 0.00; SUMX2 = 0.00;
> // X[0] = 0.00;
>
> for (i = 0; i < BarCount; i++ )
> {
> X[i] = 0;
> }
>
> for (j = BarCount - 1 - Pers; j < BarCount; j++ )
> {
> X[j] = X[j-1] + 1;
> }
>
> //Calculate SUMS;
>
> SumX = Sum(X, Pers );
> SumY = Sum(Prc, Pers );
> SumX2 = Sum(X*X, Pers );
> SumXY = Sum(X*Prc, Pers );
>
>
> // Calculate the Slope;
> SlopeNumerator = Pers * SumXY - SumX * SumY ;
> SlopeDenominator = Pers * SumX2 - SumX * SumX ;
> Slope = SlopeNumerator / SlopeDenominator ;
>
> // Calculate the Intercept;
> InterceptTerm1 = SumY / Pers ;
> InterceptTerm2 = Slope * SumX / Pers;
> Intercept = InterceptTerm1 - InterceptTerm2;
>
> // Calculate the Standard Error;
>
> SumSE = Sum((Prc - (intercept + Slope * X))^2, Pers );
> DenomSE = Pers - 2;
> StErr = sqrt(SumSE / DenomSE );
>
> printf("Slope = " + Slope + "\n" );
> printf("Intercept = " + Intercept + "\n" );
> printf("StdErr = " + StErr + "\n" );
>
> Plot(Slope, "Prc", colorYellow, styleLine + styleThick );
>
>
>
>
> --- In amibro...@yahoogrou ps.com, "Mike" <sfclimbers@ > wrote:
> >
> > I haven't looked into either myself, but the two most common answers to
> > alternative array manipulations are:
> >
> > Osaka DLL http://www.amibroke r.org/3rdparty/
> > R Plugin http://www.amibroke r.com/members/
> >
> > Of course, you could always just write your own function:
> >
> > http://www.amibroke r.com/guide/ a_userfunctions. html
> >
> > Mike
> >
> > --- In amibro...@yahoogrou ps.com, "brucet30" <brucet30@> wrote:
> > >
> > > I am looking for some AFL code that would perform a linear regression on
> > > two arrays (x, y) and return the intercept and slope for this data set.
> > > THe only funcitons I have been able to find so far in the AFL library and
> > > elsewhere assume the x-axis is time and the y-axis is price of some other
> > > indicator series. I need something more general, that could work with any
> > > (X,y) data set. Any help on this would be very much appreciated.
> > > Thanks
> > >
> >
>
