Linear Regression Forecast Indicator

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jeshayle singh

• October 30, 2017 10:13

Hi I can you please add the Linear Regression Forecast indicator (moving regression line) to your library.

Its a great indicator

Here is the code in c# below.

Thanks

using cAlgo.API;

namespace cAlgo
{
    /// <summary>
    /// Linear Regression
    /// </summary>
    [Indicator(IsOverlay = true, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class LinearRegression : Indicator
    {
        [Parameter()]
        public DataSeries Source { get; set; }

        [Parameter(DefaultValue = 14)]
        public int Period { get; set; }

        [Output("Main")]
        public IndicatorDataSeries Result { get; set; }

        public override void Calculate(int index)
        {
            double sumX = 0, sumY = 0, sumXY = 0, sumXPower = 0;

            for (int i = 0; i < Period; i++)
            {
                sumXPower += i * i;
                sumX += i;
                sumY += Source[index - i];
                sumXY += i * Source[index - i];
            }

            Result[index] = (sumXPower * sumY - sumX * sumXY) / (sumXPower * Period - sumX * sumX);
        }
    }

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• 

  Tiki Dave

  • November 14, 2017 16:16

  Aloha!  Can you point to any articles describing what the indicator should look like?  I found this, is this what you're after?

  https://www.linnsoft.com/techind/linear-regression-forecast

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  J Ink

  • May 07, 2018 09:22

  Hi Tiki Dave,

  the LinReg indicator should look exactly like the red line you see on this tick chart here. 

  

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  J Ink

  • May 07, 2018 09:24

  Tiki Dave,

  the code looks like this.

  

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  J Ink

  • May 07, 2018 09:26

  The code above is in **cough cough script**, lol

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  Tiki Dave

  • May 07, 2018 13:14

  Aloha!  I did some digging as well and arrived at a similar script to what you found.  I also found the name used in some other platforms is "Linear Regression Curve", so that's what I named it. 

  

  I also added some standard deviation bands, which traders also use to help judge overbought/oversold.

  You can turn these bands off, and play with the coloring of the linear regression line in the indicator's settings.  

  

  You will also note you can chose the price used to calculate the band, for example the average of High/Low/Close which can lead to less noise if desired.

  Let me know what you think!

   

   

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  J Ink

  • May 07, 2018 13:18

  Amazing work Tiki Dave, thank you so much. I'll get into soon and let you know!

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  J Ink

  • May 07, 2018 13:37

  I just checked it out, it's a perfect match for my system, thanks again!

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