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LinRegSlope in Degrees
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LinRegSlope in Degrees

  #1 (permalink)
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LinRegSlope in Degrees

I'm looking for a way to have the Ninja Indicator LinRegSlope expressed in degrees so I can run some tests across a basket of instruments. Before I get too carried away has anyone already done this or seen this?

Default LinRegSlope code is:

 
Code
 
protectedoverridevoid OnBarUpdate()
{
double sumX = (double) Period * (Period - 1) * 0.5;
double divisor = sumX * sumX - (double) Period * Period * (Period - 1) * (2 * Period - 1) / 6;
double sumXY = 0;
for (int count = 0; count < Period && CurrentBar - count >= 0; count++)
sumXY += count * Input[count];

Value.Set(((double) Period * sumXY - sumX * SUM(Inputs[0], Period)[0]) / divisor);
}
And the output is related to the tick size therefore you can not directly compare ES and 6E, for example.

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  #3 (permalink)
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see this NinjaTrader Support Forum - View Single Post - Slope function output

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futures.io (formerly BMT) CollectiveMA also has slope code built in, easy to modify for your purpose.

https://futures.io/elite-circle/1252-big-mike-trading-collective-ma.html

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  #5 (permalink)
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Thanks! And talk about a fast response!

Testing to see if this is correct:

 
Code
Value.Set(System.Math.Atan((((double) Period * sumXY - sumX * SUM(Inputs[0], Period)[0]) / divisor)/TickSize)*180/Math.PI);

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  #6 (permalink)
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Actually if anyone can check that code it would be great. My weekend hypothesis testing is the "Euro trends more than the ES" thing that came up in another thread. One way I thought to test that was to look at the distributions of LinRegSlope for the two instruments, but that will only work if it is true apples-to-apples math.

Preliminary histograms attached. 20 days of 1 min data.

Attached Thumbnails
LinRegSlope in Degrees-6e_hist.jpeg   LinRegSlope in Degrees-es_hist.jpeg  
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