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PCF for Linear Regression 20day Rate this Topic:
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jynkin
Posted : Tuesday, August 23, 2005 11:59:54 AM
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Joined: 10/7/2004
Posts: 286
I want a u]PCF for the 20d Linear Regression value. I have the following formula for the 30day Linear Regression value, but not sure how to translate it into a 20d Linear Regression PCF.

I don't know what to do with the denominator especially.?? ...and the 465 number?? Don't remember how I came up with these, but they work.

AVGC30 + 14.5 * ((C29 + 2 * C28 + 3 * C27 + 4 * C26 + 5 * C25 + 6 * C24 + 7 * C23 + 8 * C22 + 9 * C21 + 10 * C20 + 11 * C19 + 12 * C18 + 13 * C17 + 14 * C16 + 15 * C15 + 16 * C14 + 17 * C13 + 18 * C12 + 19 * C11 + 20 * C10 + 21 * C9 + 22 * C8 + 23 * C7 + 24 * C6 + 25 * C5 + 26 * C4 + 27 * C3 + 28 * C2 + 29 * C1 + 30 * C) - 465 * AVGC30) / 2247.5


thanks,
jynkin
Bruce_L
Posted : Tuesday, August 23, 2005 12:04:35 PM


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Try this:

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

You may be interested in the following forum topic:

Using Linear Regression vs Classical Peaks/Valleys for Divergence Analysis

-Bruce
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interrobang
Posted : Tuesday, August 23, 2005 12:14:31 PM
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Joined: 3/7/2005
Posts: 23
Bruce,

Could you explain where your numbers came from?

Thanks!

Rob
Bruce_L
Posted : Tuesday, August 23, 2005 12:46:59 PM


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The forum topic I mentioned will give a more detailed explanation, but:

The slope is determined by incrementing the coefficient for each of the closes during the Linear Regression period by negative one, adding up the results and dividing by the sum of the squares of the coefficients (the first coefficient is the number of periods since the midpoint of the Linear Regression):

(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

The slope is multiplied by the number of periods since the midpoint of the Linear Regression (9.5) and added to the value of the midpoint of the Linear Regression (AVGC20) to get the endpoint of the Linear Regression (the current value).

-Bruce
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jynkin
Posted : Tuesday, August 23, 2005 1:24:38 PM
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Posts: 286
One more Bruce....

What would the 56d Linear Regression PCF look like? Especially the denominator, I can translate the rest from the above; although if you have the whole formula and can cut and paste it here, that would be great.

thanks,
jynkin
Bruce_L
Posted : Tuesday, August 23, 2005 1:27:51 PM


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Joined: 10/7/2004
Posts: 65,138
Try this:

AVGC56 + 27.5 * (27.5 * C + 26.5 * C1 + 25.5 * C2 + 24.5 * C3 + 23.5 * C4 + 22.5 * C5 + 21.5 * C6 + 20.5 * C7 + 19.5 * C8 + 18.5 * C9 + 17.5 * C10 + 16.5 * C11 + 15.5 * C12 + 14.5 * C13 + 13.5 * C14 + 12.5 * C15 + 11.5 * C16 + 10.5 * C17 + 9.5 * C18 + 8.5 * C19 + 7.5 * C20 + 6.5 * C21 + 5.5 * C22 + 4.5 * C23 + 3.5 * C24 + 2.5 * C25 + 1.5 * C26 + 0.5 * C27 - 0.5 * C28 - 1.5 * C29 - 2.5 * C30 - 3.5 * C31 - 4.5 * C32 - 5.5 * C33 - 6.5 * C34 - 7.5 * C35 - 8.5 * C36 - 9.5 * C37 - 10.5 * C38 - 11.5 * C39 - 12.5 * C40 - 13.5 * C41 - 14.5 * C42 - 15.5 * C43 - 16.5 * C44 - 17.5 * C45 - 18.5 * C46 - 19.5 * C47 - 20.5 * C48 - 21.5 * C49 - 22.5 * C50 - 23.5 * C51 - 24.5 * C52 - 25.5 * C53 - 26.5 * C54 - 27.5 * C55) / 14630

-Bruce
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dhoward
Posted : Sunday, October 9, 2005 3:02:45 PM
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Joined: 1/2/2005
Posts: 132
Two questions:

Can I get a 25 day linear regression PCF please? If so, how can I then calculate the slope of that line inside a PCF?

I'm interested in creating an indicator that is a moving average of the slope of the 25 day linear regression. Any ideas would be greatly appreciated.

thanks,
dhoward
Bruce_L
Posted : Monday, October 10, 2005 9:31:54 AM


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Joined: 10/7/2004
Posts: 65,138
Try this for the Linear Regression:

AVGC25 + 12 * (12 * C + 11 * C1 + 10 * C2 + 9 * C3 + 8 * C4 + 7 * C5 + 6 * C6 + 5 * C7 + 4 * C8 + 3 * C9 + 2 * C10 + C11 - C13 - 2 * C14 - 3 * C15 - 4 * C16 - 5 * C17 - 6 * C18 - 7 * C19 - 8 * C20 - 9 * C21 - 10 * C22 - 11 * C23 - 12 * C24) / 1300

The slope is everything from the first parenthesis on. The following Custom Indicator should work for the indicator you want to create:

Select Chart Template | Add Indicator | Indicator.
-Visible: Checked
-Center Zero Line: Checked? (It's up to you.)
-Plot using price scale: Unchecked
-Smoothing Average: Set to the MA Period.
-Smoothing Type: Simple or Exponential
-Indicator Formula:
(12 * C + 11 * C1 + 10 * C2 + 9 * C3 + 8 * C4 + 7 * C5 + 6 * C6 + 5 * C7 + 4 * C8 + 3 * C9 + 2 * C10 + C11 - C13 - 2 * C14 - 3 * C15 - 4 * C16 - 5 * C17 - 6 * C18 - 7 * C19 - 8 * C20 - 9 * C21 - 10 * C22 - 11 * C23 - 12 * C24) / 1300

-Bruce
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dhoward
Posted : Monday, October 10, 2005 10:21:04 AM
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Joined: 1/2/2005
Posts: 132
Thanks a lot Bruce!
Bruce_L
Posted : Monday, October 10, 2005 10:50:52 AM


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Posts: 65,138
You're welcome.

-Bruce
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