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Regression Channel not plotting correctly
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Regression Channel not plotting correctly

  #11 (permalink)
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Regression Channel


Fat Tails View Post
Would like a few people to test, whether it works correctly. I will then update the Regression Channel indicator in the download section.

Hi FatTails
thanks for your efforts.
Could it be possible to chose between linear and standard regression?
Thanks
Walt

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  #12 (permalink)
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watrader View Post
Hi FatTails
thanks for your efforts.
Could it be possible to chose between linear and standard regression?
Thanks
Walt

Could you please explain what you call standard regression?

I only know the term "Standard Regression" in the context of the Capital Asset Pricing Model, which would be a special case of linear regression applied to protfolio returns. Otherwise I do not know the term.

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  #13 (permalink)
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Fat Tails View Post
Could you please explain what you call standard regression?

I only know the term "Standard Regression" in the context of the Capital Asset Pricing Model, which would be a special case of linear regression applied to protfolio returns. Otherwise I do not know the term.

Thanks. Sorry- I meant, if it's possible to set the regression channel with or without standard deviation. See pic.

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Regression Channel not plotting correctly-esig-regr-channel.png  
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  #14 (permalink)
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watrader View Post
Thanks. Sorry- I meant, if it's possible to set the regression channel with or without standard deviation. See pic.

What I assume is that eSignal has two ways of calculating the regression channel

(a) calculate the linear regression line and plot it, then add and subtract a multiple of the standard deviation to draw the channel
(b) calculate the linear regression line and plot it, then draw the lines in such a way that the resulting channel connects
to the price bars, without cutting into them

In case (b) the trend channel is constructed by using the maximum of the vertical distances of the highs from the regression line to draw the upper channel line, and the minimum of the vertical distances of the lows from the regression line to draw the lower channel line. The channels will be typically asymmetrical.

Is that what you look for? Replacing the standard deviation with a Max/Min approach?

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  #15 (permalink)
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Fat Tails View Post
What I assume is that eSignal has two ways of calculating the regression channel

(a) calculate the linear regression line and plot it, then add and subtract a multiple of the standard deviation to draw the channel
(b) calculate the linear regression line and plot it, then draw the lines in such a way that the resulting channel connects
to the price bars, without cutting into them

In case (b) the trend channel is constructed by using the maximum of the vertical distances of the highs from the regression line to draw the upper channel line, and the minimum of the vertical distances of the lows from the regression line to draw the lower channel line. The channels will be typically asymmetrical.

Is that what you look for? Replacing the standard deviation with a Max/Min approach?

Yes that's it . Thanks for clearifying.

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  #16 (permalink)
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watrader View Post
Yes that's it . Thanks for clearifying.

OK, that can be coded as an additional option. It is not difficult as you would just add another formula as an alternative. I do not have the time to do it this week though.

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  #17 (permalink)
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Fat Tails View Post
OK, that can be coded as an additional option. It is not difficult as you would just add another formula as an alternative. I do not have the time to do it this week though.

I think it is an additional improvement for your regression channel. Take your time. Thanks again.
Walt

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