Regression Lines

[shogun]

is it possible to write a efs which will draw a regression line at the highs of the previos user defined bars (say 40), see picture below,

i have tried to modify linear regression but to no avail ,does anybody have any ideas how i would go about it,

[eSignal_JasonK]

Hello Shogun,

Below is a linear regression function you can use to get the slope and intercept from any array of prices you pass to it. nLRlen (periods for regression) could also be taken out of the the parameters and set to the ".length" property of the array inside the function. Once you have the slope (A) and intercept (B) you can use the following drawLine function to draw the regression line.

drawLineRelative(0, B, -(nLRlen-1), (A*(nLRlen-1)) + B, PS_SOLID, 2, Color.blue, "RegLine");

function LinReg(nLRlen, aArray) {
    var xSum = 0;
    var ySum = 0;
    i = 0;
    for (i = 0; i < nLRlen; ++i) {
        xSum += i;
        ySum += aArray[i];
    }
    var xAvg = xSum/nLRlen;
    var yAvg = ySum/nLRlen;
    var aSum1 = 0;
    var aSum2 = 0;
    i = 0;
    for (i = 0; i < nLRlen; ++i) {
        aSum1 += (i-xAvg) * (aArray[i]-yAvg); 
        aSum2 += (i-xAvg)*(i-xAvg);
    }
    var A = (aSum1 / aSum2);    // Slope
    var B = yAvg - (A*xAvg);    // Y - Intercept
    
    return new Array(A, B);
} 

The image you posted doesn't look to be where the regression line would be for the last 40 bars' highs. It should have roughly half of the high prices above and below the regression line. What you could do to get closer to the line in your image would be to draw the +1 standard deviation regression line. Maybe both a +1 and +2 stdev lines. Below is another function that will give you the standard deviation from the same price array. Here's what the drawLine function would look like to draw the +2 stdev line.

drawLineRelative(0, B + (2*stdev), -(nLRlen-1), (A*(nLRlen-1)) + B + (2*stdev), PS_SOLID, 2, Color.blue, "RegLine2");

function StDev(aArray) {    
    var nLength = aArray.length;
    var sumX = 0;
    var sumX2 = 0;
    if (aArray == null) return;
    
    for (i = 0; i < nLength; ++i) {
        sumX += aArray[i];
        sumX2 += (aArray[i] * aArray[i])
    }
    var meanX = (sumX/nLength);
    var stdev = Math.sqrt((sumX2/nLength) - (meanX*meanX));

    return stdev;
} 

[shogun]

thanks Jason
your ideas on using the standard deviation lines instead of the actual regression line should solve the problem near enough for what i am after.

[shogun]

All seems to work as i required see images below, but i had a problem with the "addLineTool" on the current line not refreshing, so i have to use the remove LineTool with every tick , this has not given me any problems but i am wondering if this is a valid way of using the LineTool or am i better using the "drawLineRelative"

see code below.

if ( B2 >  (A2*(js-1)) + B2){ // to color the bars in direction of move.
            removeLineTool(LineTool.RAY,"Upr1");
            removeLineTool(LineTool.RAY,"Lwr1");
            addLineTool(LineTool.RAY, -(js-1), (A2*(js-1)) + B2 - (nLRstdev1*vStDev), 
            0, B2 - (nLRstdev1*vStDev), 3, Color.green, "Lwr1");
            }else {
            removeLineTool(LineTool.RAY,"Lwr1");
            removeLineTool(LineTool.RAY,"Upr1");
            addLineTool(LineTool.RAY, -(js-1), (A2*(js-1)) + B2 + (nLRstdev1*vStDev), 
            0, B2 + (nLRstdev1*vStDev), 3, Color.red, "Upr1");
            } 

[ACM]

shogun
You do need to remove the Line Tools at every tick. You may want to try using clearLineTool(LineTool.RAY) which will clear all line tools
Alex

[shogun]

Thanks Alexis
i have changed the code and will see how it works,

[its1111]

Hi Shogun

This looks like a great EFS, would you please post it when it is done, I know nothing about programing but appreciate your time and efforts. Thank you in advance for anything you may post,
Kindest Regards
Mark

[shogun]

its1111
finally got round to finishing the efs , because it is based on linear regression the lines are not true support / resistance lines so as a work around i have added two adjusting buttons so you can get the lines to fit different instruments there is also a default button to return to the original settings, see below .

[its1111]

Shogun

I have to tell you that this EFS is truly amazing. I have looked for something like this for a long time. Thank you very much.
I have tried other trend line EFS and they sort of worked, but yours is exceptional. Thank you very much for sharing it.
Mark

[shogun]

Thanks Mark,
i will be adding alerts to it at some time in the future and hopefully make it so it will self adjust to the chart ,

[luvette]

take a look at this efs.....moving linreg channels

Peter

[shogun]

if you add the following to the first line of function main it will speed up the efs when loading and using the adjusting buttons,

if (getCurrentBarIndex() < -lineLength) return; 

luvette
thanks i have seen that efs but it was no exactly what i was after.

[jobe1]

excellent efs

Shogun-

Nicely done! Is there a way to reference the last plotted point of the line so as to compare it to the close? Also, have you tried to write a similar efs that looks at the last xnumber of bars' highs to plot a line that is not penetrated along its length?