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Registered User Joined: 6/23/2010 Posts: 12
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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
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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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
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Registered User Joined: 6/23/2010 Posts: 12
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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.
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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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
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Registered User Joined: 6/23/2010 Posts: 12
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Perfect - Thank you Bruce
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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You're welcome.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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