SEB Linear Regression Slope

[eSignal]

File Name: SEB_LinRegSlope.efs

Description:
This indicator plots the slope of linear regression in osccilator-like
manner. This is a part of Standard Error Bands study.


Formula Parameters:
Length : 21

Notes:
Linear Regression is a concept also know as the "least squares method" or
"best fit". Linear Regression attempts to fit a straight line between several
data points in such a way that distance between each data point and the line is
minimized.
"Standard Error Bands" Jon Anderson, Stocks&Commodities Magazine, Traders Tips, 09/1996


Download File:
SEB_LinRegSlope.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. All rights reserved. This sample eSignal 
    Formula Script (EFS) is for educational purposes only and may be 
    modified and saved under a new file name.  eSignal is not responsible
    for the functionality once modified.  eSignal reserves the right 
    to modify and overwrite this EFS file with each new release.

Description:        
    This indicator plots the slope of linear regression in osccilator-like 
    manner. This is a part of Standard Error Bands study. 

Version:            1.0  03/19/2009

Formula Parameters:                     Default:
    Length                              21
 
Notes:
    Linear Regression is a concept also know as the "least squares method" or 
    "best fit". Linear Regression attempts to fit a straight line between several 
    data points in such a way that distance between each data point and the line is 
    minimized.
    "Standard Error Bands" Jon Anderson, Stocks&Commodities Magazine, Traders Tips, 09/1996 
**********************************/

var fpArray = new Array();
var bInit = false;

function preMain() {
    setStudyTitle("SEB LinRegSlope");
    setCursorLabelName("Slope", 0);
    setDefaultBarFgColor(Color.red, 0);
    addBand(0, PS_SOLID, 1, Color.cyan);

    var x=0;
    fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setLowerLimit(1);        
        setDefault(21);
    }
}

var xSL = null;

function main(Length) {
var nBarState = getBarState();
var nSL = 0;
    if (nBarState == BARSTATE_ALLBARS) {
        if (Length == null) Length = 21;
    }    
    if (bInit == false) {
        xSL = efsInternal("calc", Length);
        bInit = true;
    }
    nSL = xSL.getValue(0);
    if (nSL == null) return;
    return nSL;
}

var xClose = null;
var xInit = false;

function calc(Length) {
var SL = 0;
var SumBars = Length * (Length - 1) * 0.5;
var SumSqrBars = (Length - 1) * Length * (2 * Length - 1) / 6;
var Sum1 = 0;
var SumY = 0;
var i = 0;

    if(xInit==false){
        xClose = close();
        xInit = true;
    }
    for (i = 0; i < Length; i++) {
        Sum1 += i * xClose.getValue(-i);
        SumY += xClose.getValue(-i);
    }
    var Sum2 = SumBars * SumY;
    var Num1 = Length * Sum1 - Sum2;
    var Num2 = SumBars * SumBars - Length * SumSqrBars;
    SL = Num1 / Num2;
    return SL;
}