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Registered User
Joined: 3/16/2005
Posts: 15
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Set up a column calculated by the PCF LR50 Visual Slope and then did a
sort by Linear Regression - 50 bar period Sort Method Channel. Expected
the results to be the same but see that there is a difference in the
results i.e VZ 1/9/2009 PCF LR50 Visual Slope = 1.18 and Linear
Regression - 50 bar period Sort Method Channel = 1.22. Does the PCF use
a different formula from what is used in the sort?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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A Channel Sort is based on where the underlying Indicator is within the the Child Channel Plot (be it a Bollinger Band, Envelope Channel or Linear Regression). It is not directly related to the Slope (be it Visual or not):
Sort using envelopes, regression channels and Bollinger bands
The formula for the Visual Slope of a 50-Period Linear Regression:
100 * (24.5 * C + 23.5 * C1 + 22.5 * C2 + 21.5 * C3 + 20.5 * C4 + 19.5 * C5 + 18.5 * C6 + 17.5 * C7 + 16.5 * C8 + 15.5 * C9 + 14.5 * C10 + 13.5 * C11 + 12.5 * C12 + 11.5 * C13 + 10.5 * C14 + 9.5 * C15 + 8.5 * C16 + 7.5 * C17 + 6.5 * C18 + 5.5 * C19 + 4.5 * C20 + 3.5 * C21 + 2.5 * C22 + 1.5 * C23 + 0.5 * C24 - 0.5 * C25 - 1.5 * C26 - 2.5 * C27 - 3.5 * C28 - 4.5 * C29 - 5.5 * C30 - 6.5 * C31 - 7.5 * C32 - 8.5 * C33 - 9.5 * C34 - 10.5 * C35 - 11.5 * C36 - 12.5 * C37 - 13.5 * C38 - 14.5 * C39 - 15.5 * C40 - 16.5 * C41 - 17.5 * C42 - 18.5 * C43 - 19.5 * C44 - 20.5 * C45 - 21.5 * C46 - 22.5 * C47 - 23.5 * C48 - 24.5 * C49) / 10412.5 / (MAXH52 - MINL52)
Will only match an Indicator Sort using Sort Method Visual Slope (and then only if the Chart is Arithmetic and the Chart is Zoomed out to a larger size than the Linear Regression).
PCF TO RANK MUTUAL FUNDS USING LINEAR REGRESSION LINE
-Bruce
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Registered User
Joined: 3/16/2005
Posts: 15
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I see that the slope of my LR50 plot changes in the chart as one zooms in and out. The LR 50 Slope indicator remains the same at 1.18 for VZ as does the Linear Regression - 50 bar period Sort Method Channel at 1.22. Neither seem to change as a result of changes in the chart. The channel sort does not seem to vary on a re-sort with the different zoom settings.
The PCF LR50 Visual Slope appears to use the formula:
100 * (EXP((24.5 * LOG(C10 ) + 23.5 * LOG(C11) + 22.5 * LOG(C12) + 21.5 * LOG(C13) + 20.5 * LOG(C14) + 19.5 * LOG(C15) + 18.5 * LOG(C16) + 17.5 * LOG(C17) + 16.5 * LOG(C18) + 15.5 * LOG(C19) + 14.5 * LOG(C20) + 13.5 * LOG(C21) + 12.5 * LOG(C22) + 11.5 * LOG(C23) + 10.5 * LOG(C24) + 9.5 * LOG(C25) + 8.5 * LOG(C26) + 7.5 * LOG(C27) + 6.5 * LOG(C28) + 5.5 * LOG(C29) + 4.5 * LOG(C30) + 3.5 * LOG(C31) + 2.5 * LOG(C32) + 1.5 * LOG(C33) + .5 * LOG(C34) - .5 * LOG(C35) - 1.5 * LOG(C36) - 2.5 * LOG(C37) - 3.5 * LOG(C38) - 4.5 * LOG(C39) - 5.5 * LOG(C40) - 6.5 * LOG(C41) - 7.5 * LOG(C42) - 8.5 * LOG(C43) - 9.5 * LOG(C44) - 10.5 * LOG(C45) - 11.5 * LOG(C46) - 12.5 * LOG(C47) - 13.5 * LOG(C48) - 14.5 * LOG(C49) - 15.5 * LOG(C50) - 16.5 * LOG(C51) - 17.5 * LOG(C52) - 18.5 * LOG(C53) - 19.5 * LOG(C54) - 20.5 * LOG(C55) - 21.5 * LOG(C56) - 22.5 * LOG(C57) - 23.5 * LOG(C58) - 24.5 * LOG(C59)) / 10412.5) - 1) / ((MAXH62 / MINL62) ^ (1 / 61) - 1) / 61
Does the difference in formulas account for the differences in results?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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The fact that it doesn't seem to change with zoom is discussed in great detail in PCF TO RANK MUTUAL FUNDS USING LINEAR REGRESSION LINE. Your formula appears to be for a Logarithmically scaled Chart and a LR with an extension of 10 (which is not suprising since it appears to be taken from Pointer mode data box and visual slope discrepency). Changing the settings of the LR, does change the formula required for the Visual Slope.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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