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mnm
Posted : Monday, March 20, 2017 2:01:24 PM
Gold Customer Gold Customer

Joined: 6/23/2010
Posts: 8

I am trying to write a pcf for the percentage change (not annualized) of a 6 period linear regression line applied to a 20 period simple moving average. Can you tell me if this formula is correct?

100 * (EXP((2.5 * LOG(AVGC20 ) + 1.5 * LOG(AVGC20.1) + .5 * LOG(AVGC20.2) - .5 * LOG(AVGC20.3) - 1.5 * LOG(AVGC20.4) - 2.5 * LOG(AVGC20.5)) / 17.5) - 1)

Thank you

Bruce_L
Posted : Monday, March 20, 2017 2:34:12 PM


Worden Trainer

Joined: 10/7/2004
Posts: 60,371

If you aren't trying to annualize it and are using TC2000 v17, you could use the following.

AVG(3 * FAVGC6 - 2 * AVGC6, 20)

Note that the 6 period moving linear regression of the 20 period simple moving average is the same as the 20 period simple moving average of the 6 period moving linear regression which is why were able to write the formula as given above. This is slightly shorter than writing it the other way round.

3 * FAVG(AVGC20, 6) - 2 * AVG(AVGC20, 6)

This could be written as follows in earlier versions of TC2000.

AVG(AVGC20, 6) + 2.5 * (2.5 * AVGC20 + 1.5 * AVGC20.1 + .5 * AVGC20.2 - .5 * AVGC20.3 - 1.5 * AVGC20.4 - 2.5 * AVGC20.5) / 17.5



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
mnm
Posted : Monday, March 20, 2017 3:29:14 PM
Gold Customer Gold Customer

Joined: 6/23/2010
Posts: 8

Thanks Bruce.

Can you also tell me the PCF for the start and end points for a standard (non-moving) linear regression line? For example, a linear regression line applied to 20 bars of price history.

I’m thinking the starting point is the C of 20 bars ago?? I am having a hard time interpreting these formulas.

Bruce_L
Posted : Monday, March 20, 2017 4:43:21 PM


Worden Trainer

Joined: 10/7/2004
Posts: 60,371

The starting point of a 20 period linear regression line is actually 19 bars ago since it is 20 bars long and includes the current bar (which is 0 bars ago).

The left end point (starting point) of a 20 period linear regression line of price will have the following value.

4 * AVGC20 - 3 * FAVGC20

And the right end point of a 20 period linear regerssion line of price will have the following value.

3 * FAVGC20 - 2 * AVGC20



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
mnm
Posted : Monday, March 20, 2017 5:10:50 PM
Gold Customer Gold Customer

Joined: 6/23/2010
Posts: 8

Perfect - Thank you Bruce

Bruce_L
Posted : Tuesday, March 21, 2017 9:06:14 AM


Worden Trainer

Joined: 10/7/2004
Posts: 60,371

You're welcome.



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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