alpha of regression
Author: radxxx
Creation Date: 5/29/2009 5:59 AM
profile picture

radxxx

#1
hey everyone,
i found a similar question on the forum but no one answered it, does anyone knows how to get the alpha of a linear regression? plus how do i create a linear regression? i wish to create it on a price array is it possible?
profile picture

Eugene

#2
QUOTE:
plus how do i create a linear regression?

Welcome to the Wealth-Lab 5 Wiki:

LinearReg

The same link is available when clicking "More info..." in the Indicator list. The indicator is applied to DataSeries, not to an array, because WL operates with series.

P.S. You're welcome to try Wealth-Lab Developer 5 completely free for 30 days.
profile picture

ss161

#3
see this post (about 2/3 down)
/Forum/Posts/Can-someone-help-with-converting-Alpha-in-metastock-29133


QUOTE:
i wish to create it on a price array is it possible?

you can create regressions on just about any dataseries. many quant types will say that the results you get will be useless in making predictions when you calculate regressions based on price data however. i think they would suggest not using price data, but instead the log return series. my own view is that using a regression on a price series is probably better (at least no worse) than using a moving average of price to make trading decisions.

Eugene, i just saw your response. Does the Wealth-Lab LinearReg function return Alpha? I didn't think it did.
profile picture

Eugene

#4
Steve, I was merely replying to the quoted text re: how to "create a linear regression" in WL.