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 MACD linear regression pcf help Rate this Topic:
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jlin827
 Posted : Thursday, March 2, 2006 5:28:46 PM
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Joined: 5/20/2005
Posts: 178
Dear trainer,

I understand it is too hard/long to write a pcf on MACD divergence from price.
However, is it possible to write a pcf on the linear regression 21 on the MACD(10,21,7) and to show divergence from price that way?

Thanks

james
jlin827
 Posted : Thursday, March 2, 2006 5:31:42 PM
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Joined: 5/20/2005
Posts: 178
and how about a linear regression 21 on price?
can you also write a pcf on that?

james
Bruce_L
 Posted : Thursday, March 2, 2006 6:29:47 PM

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Joined: 10/7/2004
Posts: 65,138
Here's one way to write a 21-Period Linear Regression of Price:

AVGC21 + 10 * (10 * C + 9 * C1 + 8 * C2 + 7 * C3 + 6 * C4 + 5 * C5 + 4 * C6 + 3 * C7 + 2 * C8 + C9 - C11 - 2 * C12 - 3 * C13 - 4 * C14 - 5 * C15 - 6 * C16 - 7 * C17 - 8 * C18 - 9 * C19 - 10 * C20) / 770

If you are interested in divergences, you are actually probably interested in the slope instead of the endpoint (which is just the last part of the formula):

(10 * C + 9 * C1 + 8 * C2 + 7 * C3 + 6 * C4 + 5 * C5 + 4 * C6 + 3 * C7 + 2 * C8 + C9 - C11 - 2 * C12 - 3 * C13 - 4 * C14 - 5 * C15 - 6 * C16 - 7 * C17 - 8 * C18 - 9 * C19 - 10 * C20) / 770

Do you want the MACD Linear Regression Formula to be of the MACD, the Trigger Line or the Histogram? Do you want the Linear Regression endpoint or slope?

-Bruce
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jlin827
 Posted : Tuesday, March 7, 2006 1:08:48 AM
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Joined: 5/20/2005
Posts: 178
Thanks bruce,
i believewould like the MACD linear regression formula to be of the MACD.
What is the trigger line?

a question about the formula, why divide by 770?

james
Bruce_L
 Posted : Tuesday, March 7, 2006 9:17:42 AM

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Joined: 10/7/2004
Posts: 65,138
Here's one way to write a 21-Period Linear Regression of the raw Exponential MACD Line:

AVG(XAVGC10,21) - AVG(XAVGC21,21) + 10 * (10 * (XAVGC10 - XAVGC21) + 9 * (XAVGC10.1 - XAVGC21.1) + 8 * (XAVGC10.2 - XAVGC21.2) + 7 * (XAVGC10.3 - XAVGC21.3) + 6 * (XAVGC10.4 - XAVGC21.4) + 5 * (XAVGC10.5 - XAVGC21.5) + 4 * (XAVGC10.6 - XAVGC21.6) + 3 * (XAVGC10.7 - XAVGC21.7) + 2 * (XAVGC10.8 - XAVGC21.8) + (XAVGC10.9 - XAVGC21.9) - (XAVGC10.11 - XAVGC21.11) - 2 * (XAVGC10.12 - XAVGC21.12) - 3 * (XAVGC10.13 - XAVGC21.13) - 4 * (XAVGC10.14 - XAVGC21.14) - 5 * (XAVGC10.15 - XAVGC21.15) - 6 * (XAVGC10.16 - XAVGC21.16) - 7 * (XAVGC10.17 - XAVGC21.17) - 8 * (XAVGC10.18 - XAVGC21.18) - 9 * (XAVGC10.19 - XAVGC21.19) - 10 * (XAVGC10.20 - XAVGC21.20)) / 770

Here's the slope portion:

(10 * (XAVGC10 - XAVGC21) + 9 * (XAVGC10.1 - XAVGC21.1) + 8 * (XAVGC10.2 - XAVGC21.2) + 7 * (XAVGC10.3 - XAVGC21.3) + 6 * (XAVGC10.4 - XAVGC21.4) + 5 * (XAVGC10.5 - XAVGC21.5) + 4 * (XAVGC10.6 - XAVGC21.6) + 3 * (XAVGC10.7 - XAVGC21.7) + 2 * (XAVGC10.8 - XAVGC21.8) + (XAVGC10.9 - XAVGC21.9) - (XAVGC10.11 - XAVGC21.11) - 2 * (XAVGC10.12 - XAVGC21.12) - 3 * (XAVGC10.13 - XAVGC21.13) - 4 * (XAVGC10.14 - XAVGC21.14) - 5 * (XAVGC10.15 - XAVGC21.15) - 6 * (XAVGC10.16 - XAVGC21.16) - 7 * (XAVGC10.17 - XAVGC21.17) - 8 * (XAVGC10.18 - XAVGC21.18) - 9 * (XAVGC10.19 - XAVGC21.19) - 10 * (XAVGC10.20 - XAVGC21.20)) / 770

770 is the sum of the squares of the coefficients.

-Bruce
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jlin827
 Posted : Thursday, March 23, 2006 2:27:37 AM
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Joined: 5/20/2005
Posts: 178
Dear Bruce,

Thank you for the formula.
What are the differences of using endpoint or slope formula? (i am trying to find the divergence on stock price and technical indicators, both positive and negative divergences)

james
jlin827
 Posted : Thursday, March 23, 2006 2:34:16 AM
Registered User
Joined: 5/20/2005
Posts: 178
Bruce,

I have recently changed my settings on the MACD. Instead of MACD(10,21,7), i am using MACD(5,21,5).
If i want to adjusting the setting changes to the pcfs you wrote, is it correct that all i need to change is replacing all XAVGC10 to XAVGC5?
and that i still dont understand how did you get 770. can you explain that more in detail?

Thanks again

james
Bruce_L
 Posted : Thursday, March 23, 2006 7:43:26 AM

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Joined: 10/7/2004
Posts: 65,138
jlin827,
Since the Linear Regression Period didn't change, that should work:

Here's one way to write a 21-Period Linear Regression of the raw Exponential MACD Line:

AVG(XAVGC5,21) - AVG(XAVGC21,21) + 10 * (10 * (XAVGC5 - XAVGC21) + 9 * (XAVGC5.1 - XAVGC21.1) + 8 * (XAVGC5.2 - XAVGC21.2) + 7 * (XAVGC5.3 - XAVGC21.3) + 6 * (XAVGC5.4 - XAVGC21.4) + 5 * (XAVGC5.5 - XAVGC21.5) + 4 * (XAVGC5.6 - XAVGC21.6) + 3 * (XAVGC5.7 - XAVGC21.7) + 2 * (XAVGC5.8 - XAVGC21.8) + (XAVGC5.9 - XAVGC21.9) - (XAVGC5.11 - XAVGC21.11) - 2 * (XAVGC5.12 - XAVGC21.12) - 3 * (XAVGC5.13 - XAVGC21.13) - 4 * (XAVGC5.14 - XAVGC21.14) - 5 * (XAVGC5.15 - XAVGC21.15) - 6 * (XAVGC5.16 - XAVGC21.16) - 7 * (XAVGC5.17 - XAVGC21.17) - 8 * (XAVGC5.18 - XAVGC21.18) - 9 * (XAVGC5.19 - XAVGC21.19) - 10 * (XAVGC5.20 - XAVGC21.20)) / 770

Here's the slope portion:

(10 * (XAVGC5 - XAVGC21) + 9 * (XAVGC5.1 - XAVGC21.1) + 8 * (XAVGC5.2 - XAVGC21.2) + 7 * (XAVGC5.3 - XAVGC21.3) + 6 * (XAVGC5.4 - XAVGC21.4) + 5 * (XAVGC5.5 - XAVGC21.5) + 4 * (XAVGC5.6 - XAVGC21.6) + 3 * (XAVGC5.7 - XAVGC21.7) + 2 * (XAVGC5.8 - XAVGC21.8) + (XAVGC5.9 - XAVGC21.9) - (XAVGC5.11 - XAVGC21.11) - 2 * (XAVGC5.12 - XAVGC21.12) - 3 * (XAVGC5.13 - XAVGC21.13) - 4 * (XAVGC5.14 - XAVGC21.14) - 5 * (XAVGC5.15 - XAVGC21.15) - 6 * (XAVGC5.16 - XAVGC21.16) - 7 * (XAVGC5.17 - XAVGC21.17) - 8 * (XAVGC5.18 - XAVGC21.18) - 9 * (XAVGC5.19 - XAVGC21.19) - 10 * (XAVGC5.20 - XAVGC21.20)) / 770

-Bruce
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