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  • Msroc

    Hi,

    I was reading an interesting article on Trade2Win, and I wondered if I created an LSMA Study of ROC, would that have the desired results with regards to the paragraph below. Or am I oversimplifying things.

    Thanks.

    Most stand-alone software products (including Excel®) have the ability to fit a linear regression line through say the last 25 closing prices. Calculate the vertical (price) difference between the beginning and ending values of that line, and divide it by the horizontal change (the number of days, i.e. 25). That’s the slope of the line for that 25-day period. Divide that slope by the beginning value of the line, and you will make your indicator price-independent. Perform all of the above over successive 25-day periods, and you will make it moving. The price independency makes the MSROC for one market comparable to that of another – which gives you a smooth and timely ranking tool.

  • #2
    For those interested, the article is here:

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    • #3
      rogerha
      In reading that article (and the one in TAS&C) it would seem to me that you would just need to calculate a 25 period Linear Regression Slope and then divide that by the value of the price 25 bars back
      If you run a search for Linear Regression Slope you should find an efs that already computes it
      Alex

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