stats question about information gain in linear multiple regression - Emini and Emicro Index Futures Trading | futures io social day trading
futures io futures trading


stats question about information gain in linear multiple regression
Updated: Views / Replies:527 / 2
Created: by aquarian1 Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

stats question about information gain in linear multiple regression

  #1 (permalink)
Point Roberts, WA, USA
 
Trading Experience: Advanced
Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES
 
aquarian1's Avatar
 
Posts: 3,695 since Dec 2010
Thanks: 1,451 given, 2,305 received

stats question about information gain in linear multiple regression

I have a stats question on linear regression.

In working with my spreadsheet, I was looking for a predictive relationship between several "independent" (X) variables (for ES) to one "dependent" (Y).
A simple regression between X1 and Y gave R-squared=0.757.

A multiple regression (X1,X2, X3, X4, X5, X6, X7 to y gave R-squared=0.762.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



1. Does this mean that the information gain of x2..x7 was almost nothing (and x1 is giving the bulk of the information)?
2. Should I be applying any of the functions below, and if yes, what help would they give?


------------------------------------
@CORREL calculates the correlation coefficient of values in range1 and range2.
@COV calculates the covariance of the values in two ranges.
@RSQ calculates the square of the Pearson product moment correlation coefficient. @fisher calculates the Fisher transformation of a value. @fisherINV calculates the inverse of the Fisher transformation.

Notes:
Correlation and covariance both measure the relationship between two sets of data. However, the correlation statistic is independent of the unit of measure, while the covariance statistic is dependent on the unit of measure.

Visit my futures io Trade Journal Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
New York
 
Trading Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ES
 
Posts: 16 since Jan 2014
Thanks: 0 given, 8 received



aquarian1 View Post
I have a stats question on linear regression.

In working with my spreadsheet, I was looking for a predictive relationship between several "independent" (X) variables (for ES) to one "dependent" (Y).
A simple regression between X1 and Y gave R-squared=0.757.

A multiple regression (X1,X2, X3, X4, X5, X6, X7 to y gave R-squared=0.762.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



1. Does this mean that the information gain of x2..x7 was almost nothing (and x1 is giving the bulk of the information)?
2. Should I be applying any of the functions below, and if yes, what help would they give?


------------------------------------
@CORREL calculates the correlation coefficient of values in range1 and range2.
@COV calculates the covariance of the values in two ranges.
@RSQ calculates the square of the Pearson product moment correlation coefficient. @fisher calculates the Fisher transformation of a value. @fisherINV calculates the inverse of the Fisher transformation.

Notes:
Correlation and covariance both measure the relationship between two sets of data. However, the correlation statistic is independent of the unit of measure, while the covariance statistic is dependent on the unit of measure.


Check out multicollinearity.
BIC and akaike information criterion

Reply With Quote
The following user says Thank You to androiduser14916 for this post:

Reply



futures io > > > > stats question about information gain in linear multiple regression

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Show us your trading desks and win over $5,000 in prizes w/Jigsaw Trading

September
 

Webinar: The Best Entries and Exits in trading & in life w/Agustin Lebron

Elite only
 

Webinar: NinjaTrader 8 Newest Features Release Sneak Peek

Sep 26
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Linear regression Channel on MultiCharts hunterpgp MultiCharts 0 January 22nd, 2017 12:12 PM
Linear Regression Alerts brevco The Elite Circle 16 November 26th, 2015 04:35 PM
Standard Linear regression? subterfuge NinjaTrader 3 September 18th, 2015 08:03 AM
Linear regression channel Tom Joad Open E Cry 7 January 22nd, 2015 10:38 PM
Linear Regression backtesting - Is it possible? emanon AmiBroker 2 August 18th, 2014 03:49 PM


All times are GMT -4. The time now is 12:27 PM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts