Linear Regression Channel ?
Author: zanek
Creation Date: 6/27/2009 9:22 AM
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zanek

#1
Is there a Linear Regression Channel technical indicator ? I see a "Linear Regression Slope" & "Linear Regression" value line, but I havent seen an indicator that plots the lower and upper channels. Thanks
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Cone

#2
A LR channel, like the one you can draw with the manual drawing tools, doesn't lend itself to being a "tech indicator". However, using the LinearRegLine function, which I think Eugene added to Community.Components (it will come back as a native Math function in 5.5), you can create your own LR channel programmatically. Here's how it was done in v4 :http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=29484
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Eugene

#3
Here's a fancy example of drawing linear regression channels in Community.Components (credit goes to gbeltrame).
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swuzy

#4
You will see wonderful automatically drawn, auto-fit on-the-fly linear regression channels and similar technical indicators on the free (need to register and download program) charting program available from Incredible Charts. I love their charting tools and technical indicators.

Colin Twiggs also puts out a very nicely done trading diary (free email subscription that I enjoy).

I only wish Fidelity would do something similarly powerful as autofit linear regression channels on both their Active Trader Pro and in Wealth Lab.

Incredible Charts' free program version, after a trial period of daily data access, continues to work fine after the trial period, but thereafter can only access a one day delayed dataset, so charts are then always one day old.

Still this is very useful for sharing general chart info with friends when in a possibly non-secured public wifi setting and you don't have secure access to Fidelity or other sensitive connections, or if you just don't want to inadvertently show your trading account info. That is what I and my local trading club participants use Incredible Charts for.

WL designers ... I challenge you to implement some of Incredible Charts features! Pretty please? ;)

If you aren't familiar with them, check them out at incrediblecharts.com, download their free charting program, and be pleasantly astounded.




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Cone

#5
If you're motivated and think that it adds value, there's no problem creating a linear reg study to draw the lines, and sure, you can make DataSeries out of the lines too.

QUOTE:
I challenge you to implement some of Incredible Charts features
Let's turn it around - I challenge you! Poor Eugene is about the only one contributing to our "Community" libraries, though he is being incredibly responsive to requests in the forum and support.

Anyway, which features, specifically? I took the 1-minute tour in 30 seconds and didn't see anything that we can't already do.
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swuzy

#6
Touche.

It is quite incredibly marvelous what you and Eugene are doing with WL, plus all the individualized community responses you provide. I suppose that most users, including myself, erroneously think that the WL development team might include a somewhat larger group of expert coders who work in the background.

I most sincerely thank your team's work and most appreciate your sacrifices and dedication. I hope the two of you are getting enough rest, sleep, and remunerations, and that both of you are happy and remain very very happy in your work and personal life. You guys are real heroes and lifesavers to all of us users in the WL community.

I assume you have downloaded and installed their charting program. Click on the Security Tab and select a security to input and chart.

Click on the Draw Tab, and select Linear Regression Channel. Place the crosshair in the chart window, above the chart bars, choose a start point and click and drag to an end point anywhere above the chart bars. Voila three trend lines are automatically drawn and autofitted, one linear regression, and two border lines.
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swuzy

#7
I rely most heavily on channel lines for chart view analysis, in addition to technical indicators.

I confess, the triple line autofit linear regression channel line feature is something I have really wished for Active Trader Pro to have implemented for many many years already. Then to the extent that the border lines can be fine tuned, then tradable trendline feature can be applied.

As to WL, if an indicator can be created to generate the triple line autofit linear regression channel feature on semi-log chart scale over a beginning date and ending date (either entered as set dates or more likely moving-relative dates), and the border lines are custom adjustable, then cross over/under and above/below triggers can be implemented as to the three trend lines generated.


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Cone

#8
Thanks swuzy. Eugene and I are just the front men that get all the credit - we're not the experts!

I didn't take the time to install it yet, it's Saturday, and these posts are just tiny breaks from the kids :) Anyway, what you just described is our linear reg channel manual drawing tool, though in our implementation you just drag it across anywhere in PricePane to identify the start and end bars for the fit.

btw, did you run the example that Eugene posted earlier today?
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swuzy

#9
QUOTE:
Here's a fancy example of drawing linear regression channels in Community.Components (credit goes to gbeltrame).


Not quite sure how it works. Copied as new strategy, had difficulty compiling, but saved it anyway, then refreshed Extensions and reloaded WL5. Then loaded the strategy and no compile errors, and looked at a few symbol's charts thru the strategy. Am not able to drag and draw anything with crosshairs ...
QUOTE:
in our implementation you just drag it across anywhere in PricePane to identify the start and end bars for the fit.


I'm sure I have misconceived how it is to be used or how it works. ... still a neophyte.
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Cone

#10
swuzy, these are 2 different solutions.
1. To draw a manual reg channel, see User Guide: Charting > Drawing Toolbar > Regression Channel

2. If you installed Community.Components and ran the script in Eugene's link, you would have seen something like this: