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Registered User Joined: 1/28/2005 Posts: 6,049
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Bruce
Can I have a,
5 period Linear Regression Slope (normalized in percent)
5 period Ulcer Index
5 period R Squared
5 period Efficiency ratio
5 period Historical Volatility
Thanks
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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A 5-Period Linear Regression Slope could be written as (Using Linear Regression vs Classical Peaks/Valleys for Divergence Analysis):
(2 * C + C1 - C3 - 2 * C4) / 10
I do not know why you mean by normalize by percent. I guess you could multiple the the linear regression slope by 100 and then divide the result by the 5-Period Simple Moving Average to normalize the slope as a percentage of the moving average of the close over the period:
10 * (2 * (C - C4) + C1 - C3) / AVGC5
A 5-Period Ulcer Index formula could be written as (Ulcer Index PCF?):
SQR(((100 * (C / MAXC5 - 1)) ^ 2 + (100 * (C1 / MAXC4.1 - 1)) ^ 2 + (100 * (C2 / MAXC3.2 - 1)) ^ 2 + (100 * (C3 / MAXC2.3 - 1)) ^ 2) / 5)
A 5-Period R-Squared could be written as (Need help writing a PCF for r-squared):
(((((5 - 1) / 2) * AVGC5 - (C1 + 2 * C2 + 3 * C3 + 4 * C4) / 5) / SQR(((5 * 5 - 1) / 12) * ((C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2) / 5 - AVGC5 ^ 2))) ^ 2)
A 5-Period Kaufman Efficiency Ratio could be written as (Efficiency Ratio PCF):
RSI5 / 50 - 1
Or possibly:
2 * (RSI5 - 50)
A 5-Period Historical Volatility could be written as (Historical Volatility (HV)):
SQR((LOG(C / C1) ^ 2 +LOG(C1 / C2) ^ 2 +LOG(C2 / C3) ^ 2 +LOG(C3 / C4) ^ 2 +LOG(C4 / C5) ^ 2) / 5) / 5)
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 1/28/2005 Posts: 6,049
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QUOTE (Bruce_L) I do not know why you mean by normalize by percent. I guess you could multiple the the linear regression slope by 100 and then divide the result by the 5-Period Simple Moving Average to normalize the slope as a percentage of the moving average of the close over the period:
I saw this on the internet
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The raw slope essentially gives us the change in price per bar of the regression (best fit) line. If the slope is 1, then the regression line is rising at a rate of $1 per bar. Similarly, a slope of -0.25 would indicator that the line that best fits the last N bars of data is falling at the rate of $0.25 per bar.
If the "x 100 / Price (Normalize)" options is checked, then the resulting value will be divided by 100, and then multiplied by the price of that bar. This normalizes the data for the sake of comparison among instruments that trade in different price ranges. If you are interested in using this study to compare slopes between instruments, it's important that this normalizing option be used. The difference between the normalized slope and the raw slope is similar to the difference between percent change (normalized), and change(unnormalized). If you're comparing two instruments, one that's trading at 200 and another that's trading at 10, then it's not fair to compare the change in price, although the normalized value of percent change does give us a fair basis of comparison.
The normalized slope value essentially gives us the percent change is price per bar of the regression (best fit) line. If the normalized slope is 0.10, then the regression line is rising at a rate of 0.10% per bar. Similarly, a normalized slope of -0.25 would indicator that the line that best fits the last N bars of data is falling at the rate o 0.25% per bar.
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Wasnt sure which type you would supply.
I wanted one where price level wouldn’t matter.
Thanks
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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Dividing by price seems inferior to dividing by average price, but we can do it:
10 * (2 * (C - C4) + C1 - C3) / C
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 1/28/2005 Posts: 6,049
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A 5-Period Kaufman Efficiency Ratio could be written as (Efficiency Ratio PCF):
2 * (RSI5 - 50)
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How would this be written if it was a different part of the bar say the low?
Thanks
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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(L - L5) / (ABS(L - L1) + ABS(L1 - L2) + ABS(L2 - L3) + ABS(L3 - L4) + ABS(L4 - L5))
Or possibly:
100 * (L - L5) / (ABS(L - L1) + ABS(L1 - L2) + ABS(L2 - L3) + ABS(L3 - L4) + ABS(L4 - L5))
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 1/28/2005 Posts: 6,049
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R Squared seems incorrect has values that go over 1 million.
Thanks
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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There was a / 100 in the formula that didn't get changed to a / 5. I've adjusted the fomula given above.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 1/28/2005 Posts: 6,049
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Bruce
How do I make this
2 * ( RSI5 - 50 )
its value 5 days ago?
Thanks
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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Please try the following:
2 * (RSI5.1.5 - 50)
PCF Formula Descriptions
-Bruce Personal Criteria Formulas TC2000 Support Articles
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