Linear regression Channels

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ian_uk
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Linear regression Channels

Postby ian_uk » Thu Jun 15, 2006 11:43 am

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 re-joined because of TRO's recent posts but probably not in time to find his postings!

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Capnpaul
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Re: LR Cahnnels

Postby Capnpaul » Thu Jun 22, 2006 8:45 pm

Ian



Is this what you has in mind?

J Paul

DLL now attached
Attachments
NXTVAL32.zip
Add Dll to TS Programs
(48.27 KiB) Downloaded 152 times
LN RG CHNNL DAILY.ELD
LR Chnnls
(11.52 KiB) Downloaded 153 times
Last edited by Capnpaul on Fri Jun 23, 2006 12:14 pm, edited 1 time in total.

ian_uk
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Regression Channel Trading

Postby ian_uk » Fri Jun 23, 2006 10:44 am

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

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LN Chnnls

Postby moneymarkets » Fri Jun 23, 2006 11:36 am

Thanks for posting the LN Chnnls.
I get a error ---Missing nxtval32.dll ?
Where can that be found?
Thanks

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Postby Capnpaul » Fri Jun 23, 2006 12:23 pm

NXTVAL32(DLL).ZIP
Now available above. Please excuse the omission.
Last edited by Capnpaul on Fri Jun 23, 2006 2:01 pm, edited 1 time in total.

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Postby moneymarkets » Fri Jun 23, 2006 12:33 pm

That fixed it.
Thanks a lot.
Good looking indicator.
This is turning out to be a excellent forum. :lol:

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Re: Linear regression Channels

Postby Capnpaul » Fri Jun 23, 2006 2:21 pm

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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Postby moneymarkets » Fri Jun 23, 2006 9:34 pm

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?
Would you post the LR_Dual_Bnds_PctAv3 shown on above chart.
The two together looks good.
thanks

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Postby ian_uk » Fri Jun 23, 2006 9:50 pm

J Paul thank you for the additions and explanation that was precisely what I was looking for. I really appreciate that.

With best regards

Ian

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More on %a

Postby Capnpaul » Sat Jun 24, 2006 11:07 am

All

%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

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