Hello Forum and WL support,

I am trying to find the functions that would take values from 2 different series.

INTERCEPT(REGRESSION)
COVARIENCE
SLOPE (REGRESSION)

The only function I found that works on two seriese was CORRELATION. I suppose I could "reverse" what I need from CORRELATION AND STDDEV.. Or try to write the function from scratch. I thought I should enquire here if anything like that already exists, before I start to reinvent the wheel.

Could anyone please point me to the easy way to get the calculations listed above.

Thank you

Linear regression slope do exist in WL5 - look up LinearReg and LinearRegSlope on the Indicators list.

As to the others, maybe this post would be helpful?

Open Source .Net math libraries

Eugene,

Thank you for reply.

As I wrote in my post: "The only function I found that works on two series was CORRELATION"
Unfortunately the native LinearReg and LinearRegSlope functions that you refer to, can only analyze one series.

I just realized that this is .net area. Can I move this topic to wl4? if not, lease answer while keeping in mind that the question is for wl4.
Apology for inconvenience.

Topics can't be moved. For WL4, you can try searching the old Code Library - that's all I can say. However, now I realize you're talking about massaging two different series of data... and that makes me wonder: correlation aside, what is it? For instance, what's the slope of two series?

QUOTE:
"what's the slope of two series?"

Beta of a stock ,for example, is a slope in "stock to market" liniar regression. It estimates change in stock per unit change in market.
This really statistics 101, and the topic was covered in evry finance/investment and a couple of accounting classes I took in collage. From what I hear, the only majors who do not use data analysis are the liberal arts. I am sort of in disbelieve that WL does not have anything native to cover this area. I still think that wl is a superb tool. I guess I will try to write it myself. Please let me know if anyone already wrote this function and would like to share it.

Now I see, it's a matter of definitions. For instance, Beta is implemented for both WL4 and WL5 (Community.Indicators). Perform a forum search, and if nothing comes out, you'll need to create it from scratch.

Thanks Eugene.

The Beta function works

Similar question. I'm trying to calculate the slope of a rolling linear regression (ie the linear regression of the past n periods) for an indicator as part of a mean reversion strategy. I've implemented the LinRegSlope from Community.Indicators, which seemed to be exactly what I wanted, however it seems to be failing me.

Below is the code I have written, and it compiles & gives results. However the slope coefficients are tiny and do not seem to produce logical results. what I'd like is to have periods of time where there's a strong regression to the mean tendency with the indicator to produce a strongly positive Reversion Strength signal and for times where the regression is weak, to get a more neutral or negative one.

Thanks for any help

CODE:
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