Registered User
Joined: 10/19/2004
Posts: 5
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I'm interested in a PCF that will simulate a linear regression trend line .I would like to find stocks that are in an up trend in the last 30 days.Can you help?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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An Indicator Formula for the right end point of a 30-Period Linear Regression Line could be written as:
AVGC30 + 14.5 * (14.5 * C + 13.5 * C1 + 12.5 * C2 + 11.5 * C3 + 10.5 * C4 + 9.5 * C5 + 8.5 * C6 + 7.5 * C7 + 6.5 * C8 + 5.5 * C9 + 4.5 * C10 + 3.5 * C11 + 2.5 * C12 + 1.5 * C13 + 0.5 * C14 - 0.5 * C15 - 1.5 * C16 - 2.5 * C17 - 3.5 * C18 - 4.5 * C19 - 5.5 * C20 - 6.5 * C21 - 7.5 * C22 - 8.5 * C23 - 9.5 * C24 - 10.5 * C25 - 11.5 * C26 - 12.5 * C27 - 13.5 * C28 - 14.5 * C29) / 2247.5
We are interested primarily the linear regression slope portion of the formula which constitutes everything from the first parenthesis on:
(14.5 * C + 13.5 * C1 + 12.5 * C2 + 11.5 * C3 + 10.5 * C4 + 9.5 * C5 + 8.5 * C6 + 7.5 * C7 + 6.5 * C8 + 5.5 * C9 + 4.5 * C10 + 3.5 * C11 + 2.5 * C12 + 1.5 * C13 + 0.5 * C14 - 0.5 * C15 - 1.5 * C16 - 2.5 * C17 - 3.5 * C18 - 4.5 * C19 - 5.5 * C20 - 6.5 * C21 - 7.5 * C22 - 8.5 * C23 - 9.5 * C24 - 10.5 * C25 - 11.5 * C26 - 12.5 * C27 - 13.5 * C28 - 14.5 * C29) / 2247.5
You could add a > 0 to the end of this to check for a positive linear regression slope:
(14.5 * C + 13.5 * C1 + 12.5 * C2 + 11.5 * C3 + 10.5 * C4 + 9.5 * C5 + 8.5 * C6 + 7.5 * C7 + 6.5 * C8 + 5.5 * C9 + 4.5 * C10 + 3.5 * C11 + 2.5 * C12 + 1.5 * C13 + 0.5 * C14 - 0.5 * C15 - 1.5 * C16 - 2.5 * C17 - 3.5 * C18 - 4.5 * C19 - 5.5 * C20 - 6.5 * C21 - 7.5 * C22 - 8.5 * C23 - 9.5 * C24 - 10.5 * C25 - 11.5 * C26 - 12.5 * C27 - 13.5 * C28 - 14.5 * C29) / 2247.5 > 0
It is theoretically possible for the net change over the period to be negative even though the linear regression slope is positive however. So you may want to check for that as well. Adding that along with adjusting the linear regression slope formula slightly to make it a bit shorter and eliminate the denominator would result in:
C > C29 AND 29 * (C - C29) + 27 * (C1 - C28) + 25 * (C2 -C27) + 23 * (C3 - C26) + 21 * (C4 - C25) + 19 * (C5 - C24) + 17 * (C6 - C23) + 15 * (C7 - C22) + 13 * (C8 - C21) + 11 * (C9 - C20) + 9 * (C10 - C19) + 7 * (C11 - C18) + 5 * (C12 - C17) + 3 * (C13 - C16) + C14 > C15
Using Linear Regression vs Classical Peaks/Valleys for Divergence Analysis
-Bruce
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