Thanks to Michal for a new forum ( and to Avery as I have joined from TRO..Stockfetcher forums). Has anyone any views on the best software or code for identifying positions in the linear regression channel. I am not yet a member of stockfetcher but it looks as though their service would be able to find stocks in the sort of positions described in this link
http://scans.marketgauge.com/help/LinRegStrategies.asp
(consolidations of the shorter 3 period linear regression against the loger term trend).
Regards
Ian
PS I will check the TS forum which I have just rejoined because of TRO's recent posts but probably not in time to find his postings!
Linear regression Channels
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 Capnpaul
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Re: LR Cahnnels
Ian
Is this what you has in mind?
J Paul
DLL now attached
Is this what you has in mind?
J Paul
DLL now attached
 Attachments

 NXTVAL32.zip
 Add Dll to TS Programs
 (48.27 KiB) Downloaded 181 times

 LN RG CHNNL DAILY.ELD
 LR Chnnls
 (11.52 KiB) Downloaded 178 times
Last edited by Capnpaul on Fri Jun 23, 2006 12:14 pm, edited 1 time in total.

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Regression Channel Trading
Many thanks J Paul that is very useful and a nice chart. My question was prompted by the work of Mel Raiman who has highlighted reversion to the trend trades at the wings of the channel.
Ian
Ian

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LN Chnnls
Thanks for posting the LN Chnnls.
I get a error Missing nxtval32.dll ?
Where can that be found?
Thanks
I get a error Missing nxtval32.dll ?
Where can that be found?
Thanks
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 Capnpaul
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Re: Linear regression Channels
ian_uk wrote:. . . or code for identifying positions in the linear regression channel. . . .
Ian
In the CAT chart sub graph 2 depicts the current price as a percentage of standard deviation (%Alpha).
%Alpha = (Price – (LRValue raw [Length]) / StdDev (Price, Length));
%Alpha may be used as an alert for both profit taking and protective stops.
When the price = one standard deviation the % alpha = +100%; 1.5 deviations would be equivalent to 150%. If the price is minus one standard deviation the %Alpha = 100%, etc.
This %Alpha may also be found useful to scan in Radar Screen and can locate those stocks that are trading below, at or above standard deviation.
This chart of CAT shows the %Alpha indicator as the red line in the lower chart. Grey shadow lines are drawn at + 1 StdDev (100%) and 1 StdDev (100%).
The current Linear Regression Trend Line is the center line on the candle bar chart. The outer channel lines are drawn 1 StdDev above (green) and 1 StdDev below (red) the (Current) Trend line.
Since the drawn trend line is current, the Standard Deviation lines are only correct for today. These two lines show the historic points where price penetrated beyond one StdDev.
The %Alpha presentation is a correct representation of the historic points in time, where the price was beyond 1 StdDev.
Ian, Is this what your looking for?

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Would you post the LR_Dual_Bnds_PctAv3 shown on above chart.Capnpaul wrote:ian_uk wrote:. . . or code for identifying positions in the linear regression channel. . . .
Ian
In the CAT chart sub graph 2 depicts the current price as a percentage of standard deviation (%Alpha).
%Alpha = (Price – (LRValue raw [Length]) / StdDev (Price, Length));
%Alpha may be used as an alert for both profit taking and protective stops.
When the price = one standard deviation the % alpha = +100%; 1.5 deviations would be equivalent to 150%. If the price is minus one standard deviation the %Alpha = 100%, etc.
This %Alpha may also be found useful to scan in Radar Screen and can locate those stocks that are trading below, at or above standard deviation.
This chart of CAT shows the %Alpha indicator as the red line in the lower chart. Grey shadow lines are drawn at + 1 StdDev (100%) and 1 StdDev (100%).
The current Linear Regression Trend Line is the center line on the candle bar chart. The outer channel lines are drawn 1 StdDev above (green) and 1 StdDev below (red) the (Current) Trend line.
Since the drawn trend line is current, the Standard Deviation lines are only correct for today. These two lines show the historic points where price penetrated beyond one StdDev.
The %Alpha presentation is a correct representation of the historic points in time, where the price was beyond 1 StdDev.
Ian, Is this what your looking for?
The two together looks good.
thanks
 Capnpaul
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More on %a
All
%a has many characteristics that are valuable for creating trading indicators.
%a has many characteristics that are valuable for creating trading indicators.
J Paul Gaskill
"Remember, the market will tell us all we need to know"
Cynthia A Kase CMT CTA
"Make the market move your way" WD Gann Chartist
"Remember, the market will tell us all we need to know"
Cynthia A Kase CMT CTA
"Make the market move your way" WD Gann Chartist
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