| wilsonchoi |
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| Monday, December 17, 2012 |
| Monday, January 13, 2014 3:30:49 AM |
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Thank you very much, Bruce_L! Now I know the definition of the lag of an serie.
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QUOTE (Bruce_L)
Moving Linear Regression and Linear Regression Moving Average are two different terms for the same thing. A Moving Linear Regression Plots the right endpoints of a Linear Regression Line over time.
It can be thought of as an estimated value for the day as predicted by a linear regression model, but it can also be thought of as a zero lag method of smoothing.
Thanks for the explanation, Bruce L. I read some of your posts. Those really help me a lot!
Is LRMA really zero lag? I don't think it is. It shows the trend over the past few days. It does lag less than SMA. But I think it still lags.
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diceman,
I think i know what LRMA is now. The LRMA value is just the estimated value of the day, predicted by a linear regression model, which is trained by the recent data.
Thanks for your reply!
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QUOTE (Craig_S) Not to screw up anyone's task assignments but I will provide the formulas.
5-period MLR
AVGC5+2*(( 2*C0 +1*C1 +0*C2 -1*C3 -2*C4 ) / 10)
10-period MLR
AVGC10+4.5*((4.5*C +3.5*C1+ 2.5*C2+ 1.5*C3+ 0.5*C4 -0.5*C5 -1.5*C6 -2.5*C7 -3.5*C8 -4.5*C9)/82.5)
20-period MLR
AVGC20+9.5*((9.5*C+ 8.5*C1+ 7.5*C2 +6.5*C3 +5.5*C4 +4.5*C5 +3.5*C6 +2.5*C7 +1.5*C8 +0.5*C9 -0.5*C10 -1.5*C11 -2.5*C12 -3.5*C13 -4.5*C14 -5.5*C15 -6.5*C16 -7.5*C17 -8.5*C18 -9.5*C19)/665)
Craig S,
What's the difference between LRMA and MLR? What do C1, C2... indicate?
Thanks!
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Craig S,
What's the difference between LRMA and MLR? What do C1, C2... indicate?
Thanks!
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diceman,
Hi! I am a student from China. Can you tell me what Linear Regression Moving Average is? What's the formula?
Thanks!
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