Auf geht's

Lineare Regression

Lagging Session Regression ChannelHello Traders ! Note : This is my very first published script on trading view & from brainstorming an idea to developing to the finched product it was imperative to me for the indiactor and every one of its features to be of some meaningfull use. If you like the idea of statsitics being able to predict future prices in the market then this indicator may be usefull in your trading arsenal. Introduction : Lagging Session Regression Channel (LSRC) is a statistical trend analysis indicator that "laggs" the market by the user defined session, by defualt a day, by doing so the indicator leverges the ability of simple linear regression to predict future asset price.(This can be used on any asset in any market in any time frame) Options & inputs : - Bar regression lookback : The value of bars back from the lats session change, if the seesion time is equivelnt to the the chart timefrmae then the regression line will not lag price, i.e it will act as a stantdard lineer regression channel chnaging on evrey last confimred bar. - Standard Deviation lookback : The value of bars from the last session change to cacluate the unbiased standard deviation, The lookback can be set to > or < the regression lookback to cauture > or < less asset volatility. (note this is the same as the residual standard deviation) - Predicted price at nth bar : if you whant to know the predicted close price value at any given point in the regression and to the RHS of the regression. - Regression Line colors group : Changes the colors of each plotted line. - OLS Line color : is only changeable when trend color is set to false / unticked. - Visable deviations group : Plots the lines that you want on chart, e.g if "Show DEV1" and "Sow DEV SUB1" are the only inputs ticked then they will be the only lines ploted along with the simple linear regression line. - Regression Line Dynamics group : All inputs in this group change the regressions calculations given the bar lookback is constant / the same. - Trend color : if set too true, when the close of the proceding real time bar is greater than the simple linear regression line from the last confimred session the line will be colored green, if otherwise the close is below the simple linear regression line the line will be colored red. - Extend regression line : This is the same chart image as seen on the publication chart image but with Extend regression line set to true, this allows the trader to test the valdity of the regression and how well it predicts future price, as seen on the M15 chart of BTCUSD above the indicator was pritty good at doing this. - Standard deviation channel source : Source for standard deviation to be calculated on. note if this is set to a varible other than the close then this will no longer be the resdiaul standard deviation, as of now "LSRC 1.0" the regression uses only the close for y / predicted values. - Time elasped unitl next regression calculation : The session time until the next LSRC will be calculated and plotted Label LSRC stats : - STAN DEV : the standard deviation used to cacluateed the deviation channels - MIN : The lowest price across the regression - MAX : The highest price across the regression - n bars above dev 1 : The number of bars that closed above the first standard deviation channel across the entire regression calculation - n bars below sub dev1 : The number of bars that closed below the first standard deviation channel. - Regression Price : The output of "Predicted price at nth bar" input. Hope you find this usefull ! I will continue too try improve this script and update it accordingly.
Pine Script® Indikator
von Amjad_S
EMA GradientA method of visualising whether an EMA is moving at a faster rate than in previous bars. It uses a linear regression analysis to plot a line of best fit to an exponential moving average of the price (the purple dashed line on the chart). The gradient of this line of best fit is then compared to the gradient of the line of best fit over a range of previous candles. If the absolute value of the EMA gradient is greater than 75% (configurable) of the set of previous gradients then the line is coloured green for positive gradients and red for negative gradients. A yellow line indicates that the gradient is lower than the threshold.
Pine Script® Indikator
von m_b_round
2
Regression Fit Bollinger Bands [Spiritualhealer117]This indicator is best suited for mean reversion trading, shorting at the upper band and buying at the lower band, but it can be used in all the same ways as a standard bollinger band. It differs from a normal bollinger band because it is centered around the linear regression line, as opposed to the moving average line, and uses the linear regression of the standard deviation as opposed to the standard deviation. This script was an experiment with the new vertical gradient fill feature.
Pine Script® Indikator
von spiritualhealer117
1
Linear Average PriceWhat is "Linear Average Price"? "Linear Average Price" is both a trend and an overbought oversold indicator . What it does? it creates a trendline and trading zones. How it does it? To create the trend line, it averages the difference between each data and chooses it as the slope of the line it creates. then it positions this line so that it passes right through the middle of the data at hand. It uses standard deviation to create trading zones. How to use it? It can be used both to have an idea about the trend direction and to determine buy-sell zones. You can choose how many candles the indicator will calculate from the "lenght" section. The "range" part is the coefficient of the standard deviation and can be used to expand or collapse zones.
Pine Script® Indikator
von faytterro
[_ParkF]MFI+Added the Moneyflow Index indicator. Divergence signals and diversion lines are drawn. Support and resistance were also confirmed when linear regression and trend lines were used for the Moneyflow Index. Two linear regression and two trend lines are drawn. Because the two linear regression values are different, you can see the support and resistance of long-term and short-term linear regression. Since the periodic values of the two trend lines are also different, support and resistance that could not be identified in linear regression can be identified. Each linear regression line and trend line can be turned on or off. In addition, each linear regression line and trend line can arbitrarily modify period values and deviation values. I hope it will help you trade. ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- 머니플로우인덱스 지표를 추가하였습니다. 다이버전스 신호와 다이버전스 라인이 그려집니다. 머니플로우인덱스에도 선형회귀와 추세선을 이용했을 때 지지와 저항이 확인이 되었습니다. 2개의 선형회귀와 2개의 추세선이 그려지고 두 선형 회귀 값은 서로 다르기 때문에 장기 및 단기 선형 회귀의 지지 및 저항을 확인할 수 있습니다. 두 추세선의 주기 값도 다르므로 선형 회귀 분석에서 확인할 수 없었던 지지 및 저항을 확인할 수 있습니다. 각 선형 회귀선 및 추세선은 켜거나 끌 수 있습니다. 또한 각 선형 회귀선 및 추세선은 주기 값과 편차 값을 임의로 수정할 수 있습니다. 당신의 트레이딩에 도움이 되었으면 합니다. ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- * I would like to express my gratitude to zdmre for revealing the linear regression source. * I would like to express my gratitude to aaahopper for revealing the trendlines source.
Pine Script® Indikator
von ParkF
1
GKYZ-Filtered, Non-Linear Regression MA [Loxx]GKYZ-Filtered, Non-Linear Regression MA is a Non-Linear Regression of price moving average. Use this as you would any other moving average. This also includes a Garman-Klass-Yang-Zhang Historical Volatility Filter to reduce noise. What is Non-Linear Regression? In statistics, nonlinear regression is a form of regression analysis in which observational data are modeled by a function which is a nonlinear combination of the model parameters and depends on one or more independent variables. The data are fitted by a method of successive approximations. What is Garman-Klass-Yang-Zhang Historical Volatility? Yang and Zhang derived an extension to the Garman Klass historical volatility estimator that allows for opening jumps. It assumes Brownian motion with zero drift. This is currently the preferred version of open-high-low-close volatility estimator for zero drift and has an efficiency of 8 times the classic close-to-close estimator. Note that when the drift is nonzero, but instead relative large to the volatility , this estimator will tend to overestimate the volatility . The Garman-Klass-Yang-Zhang Historical Volatility calculation is as follows: GKYZHV = sqrt((Z/n) * sum((log(open(k)/close( k-1 )))^2 + (0.5*(log(high(k)/low(k)))^2) - (2*log(2) - 1)*(log(close(k)/open(2:end)))^2)) Included Alerts Signals Loxx's Expanded Source Types Bar coloring
Pine Script® Indikator
von loxx
8
Fourier Spectrometer of Price w/ Extrapolation Forecast [Loxx]Fourier Spectrometer of Price w/ Extrapolation Forecast is a forecasting indicator that forecasts the sinusoidal frequency of input price. This method uses Linear Regression with a Fast Fourier Transform function for the forecast and is different from previous forecasting methods I've posted. Dotted lines are the forecast frequencies. You can change the UI colors and line widths. This comes with 8 frequencies out of the box. Instead of drawing sinusoidal manually on your charts, you can use this instead. This will render better results than eyeballing the Sine Wave that folks use for trading. this is the real math that automates that process. Each signal line can be shown as a linear superposition of periodic (sinusoidal) components with different periods (frequencies) and amplitudes. Roughly, the indicator shows those components. It strongly depends on the probing window and changes (recalculates) after each tick; e.g., you can see the set of frequencies showing whether the signal is fast or slow-changing, etc. Sometimes only a small number of leading / strongest components (e.g., 3) can extrapolate the signal quite well. Related Indicators Fourier Extrapolator of 'Caterpillar' SSA of Price Real-Fast Fourier Transform of Price w/ Linear Regression Fourier Extrapolator of Price w/ Projection Forecast Itakura-Saito Autoregressive Extrapolation of Price Helme-Nikias Weighted Burg AR-SE Extra. of Price ***The period parameter doesn't correspond to how many bars back the drawing begins. Lines re rendered according to skipping mechanism due to TradingView limitations.
Pine Script® Indikator
von loxx
5
DB LinReg Price ChannelDB LinReg Price Channel What does the indicator do? This indicator is very simple and designed to plot a quick linear regression channel for high, hlc3, and low. It allows the symbol and timeframe to be configured in the settings. The purpose of the indicator is to obtain a price channel for the desired timeframe with outliers removed. How should this indicator be used? I personally use two of the indicators with one set to the current timeframe and the second set to 2x of the current timeframe. For example, 12H and Daily which gives you a fast and slow price channel for your desired timeframe. Price channels can help you know the value of the current price in respect to the timeframe and for pricing stop losses and liquidation levels. Does the indicator include any alerts? Not yet. Use at your own risk and do your own diligence. Enjoy!
Pine Script® Indikator
von thefluffyones
Leavitt Projection [CC]The Leavitt Projection indicator was created by Jay Leavitt (Stocks and Commodities Oct 2019, page 11), who is most well known for creating the Volume-Weighted Average Price indicator. This indicator is very simple but is also the building block of many other indicators, so I'm starting with the publication of this one. Since this is the first in a series I will be publishing, keep in mind that the concepts introduced in this script will be the same across the entire series. The recommended strategy for how to trade with these indicators is to plot a fast version and a slow version and go long when the fast version crosses over the slow version or to go short when the fast version crosses under the slow version. I have color coded the lines to turn light green for a normal buy signal or dark green for a strong buy signal and light red for a normal sell signal, and dark red for a strong sell signal. I know many of you have wondered where I have been, and my personal life has become super hectic. I was recently hired full-time by TradingView, and my wife is pregnant with twins, and she is due in a few months. I will do my absolute best to get back to posting scripts regularly, but I will post a bunch today in the meantime to fulfill a special request from one of my loyal followers (@ashok1961).
Pine Script® Indikator
von cheatcountry
20
Regression Channel Trend DetectionThis is a regression channel that uses ichimoku to determine trend. The sensitivity is customizable. The centerline will change color according to the trend detected by ichimoku, and each line can act as support/resistance. The bands of the channel also change colors according to how far price is getting away from them. If you notice in this example, the lower band is turning orange when the price is getting too far away from it, suggesting that it may have risen too fast and too soon. This is still in testing so feel free to comment with any suggestions or fixes.
Pine Script® Indikator
von grafman
Real-Fast Fourier Transform of Price w/ Linear Regression [Loxx]Real-Fast Fourier Transform of Price w/ Linear Regression is a indicator that implements a Real-Fast Fourier Transform on Price and modifies the output by a measure of Linear Regression. The solid line is the Linear Regression Trend of the windowed data, The green/red line is the Real FFT of price. What is the Discrete Fourier Transform? In mathematics, the discrete Fourier transform (DFT) converts a finite sequence of equally-spaced samples of a function into a same-length sequence of equally-spaced samples of the discrete-time Fourier transform (DTFT), which is a complex-valued function of frequency. The interval at which the DTFT is sampled is the reciprocal of the duration of the input sequence. An inverse DFT is a Fourier series, using the DTFT samples as coefficients of complex sinusoids at the corresponding DTFT frequencies. It has the same sample-values as the original input sequence. The DFT is therefore said to be a frequency domain representation of the original input sequence. If the original sequence spans all the non-zero values of a function, its DTFT is continuous (and periodic), and the DFT provides discrete samples of one cycle. If the original sequence is one cycle of a periodic function, the DFT provides all the non-zero values of one DTFT cycle. What is the Complex Fast Fourier Transform? The complex Fast Fourier Transform algorithm transforms N real or complex numbers into another N complex numbers. The complex FFT transforms a real or complex signal x in the time domain into a complex two-sided spectrum X in the frequency domain. You must remember that zero frequency corresponds to n = 0, positive frequencies 0 < f < f_c correspond to values 1 ≤ n ≤ N/2 −1, while negative frequencies −fc < f < 0 correspond to N/2 +1 ≤ n ≤ N −1. The value n = N/2 corresponds to both f = f_c and f = −f_c. f_c is the critical or Nyquist frequency with f_c = 1/(2*T) or half the sampling frequency. The first harmonic X corresponds to the frequency 1/(N*T). The complex FFT requires the list of values (resolution, or N) to be a power 2. If the input size if not a power of 2, then the input data will be padded with zeros to fit the size of the closest power of 2 upward. What is Real-Fast Fourier Transform? Has conditions similar to the complex Fast Fourier Transform value, except that the input data must be purely real. If the time series data has the basic type complex64, only the real parts of the complex numbers are used for the calculation. The imaginary parts are silently discarded. Inputs: src = source price uselreg = whether you wish to modify output with linear regression calculation Windowin = windowing period, restricted to powers of 2: "4", "8", "16", "32", "64", "128", "256", "512", "1024", "2048" Treshold = to modified power output to fine tune signal dtrendper = adjust regression calculation barsback = move window backward from bar 0 mutebars = mute bar coloring for the range Further reading: Real-valued Fast Fourier Transform Algorithms IEEE Transactions on Acoustics, Speech, and Signal Processing, June 1987 Related indicators utilizing Fourier Transform Fourier Extrapolator of Variety RSI w/ Bollinger Bands Fourier Extrapolation of Variety Moving Averages Fourier Extrapolator of Price w/ Projection Forecast
Pine Script® Indikator
von loxx
5
Cycle-Period Adaptive, Linear Regression Slope Oscillator [Loxx]Cycle-Period Adaptive, Linear Regression Slope Oscillator is an osciallator that solves for the Linear Regression slope and turns it into an oscillator. This is a very simple calculation and uses one of Ehler's first implementations of his cycle period calculations. The output slope value is smoothed after calculation and before being drawn. This is a sort of momentum indicator and has a rich history with Forex traders around the world. What is the Cycle Period? The spectral content of the data are measured in a bank of contiguous filters as described in "Measuring Cycle Periods" in the March 2008 issue of Stocks & Commodities Magazine. The filter having the strongest output is selected as the current dominant cycle period. The cycle period is measured as the number of bars contained in one full cycle period. What is Linear Regression? In statistics, linear regression is a linear approach for modeling the relationship between a scalar response and one or more explanatory variables. The case of one explanatory variable is called simple linear regression; for more than one, the process is called multiple linear regression. Included: Bar coloring 2 signal types Alerts Loxx's Expanded Source Types Loxx's Moving Averages
Pine Script® Indikator
von loxx
1
Polynomial-Regression-Fitted RSI [Loxx]Polynomial-Regression-Fitted RSI is an RSI indicator that is calculated using Polynomial Regression Analysis. For this one, we're just smoothing the signal this time. And we're using an odd moving average to do so: the Sine Weighted Moving Average. The Sine Weighted Moving Average assigns the most weight at the middle of the data set. It does this by weighting from the first half of a Sine Wave Cycle and the most weighting is given to the data in the middle of that data set. The Sine WMA closely resembles the TMA (Triangular Moving Average). So we're trying to tease out some cycle information here as well, however, you can change this MA to whatever soothing method you wish. I may come back to this one and remove the point modifier and then add preliminary smoothing, but for now, just the signal gets the smoothing treatment. What is Polynomial Regression? In statistics, polynomial regression is a form of regression analysis in which the relationship between the independent variable x and the dependent variable y is modeled as an nth degree polynomial in x. Polynomial regression fits a nonlinear relationship between the value of x and the corresponding conditional mean of y, denoted E(y |x). Although polynomial regression fits a nonlinear model to the data, as a statistical estimation problem it is linear, in the sense that the regression function E(y | x) is linear in the unknown parameters that are estimated from the data. For this reason, polynomial regression is considered to be a special case of multiple linear regression . Included Alerts Signals Bar coloring Loxx's Expanded Source Types Loxx's Moving Averages Other indicators in this series using Polynomial Regression Analysis. Poly Cycle PA-Adaptive Polynomial Regression Fitted Moving Average Polynomial-Regression-Fitted Oscillator
Pine Script® Indikator
von loxx
Polynomial-Regression-Fitted Oscillator [Loxx]Polynomial-Regression-Fitted Oscillator is an oscillator that is calculated using Polynomial Regression Analysis. This is an extremely accurate and processor intensive oscillator. What is Polynomial Regression? In statistics, polynomial regression is a form of regression analysis in which the relationship between the independent variable x and the dependent variable y is modeled as an nth degree polynomial in x. Polynomial regression fits a nonlinear relationship between the value of x and the corresponding conditional mean of y, denoted E(y |x). Although polynomial regression fits a nonlinear model to the data, as a statistical estimation problem it is linear, in the sense that the regression function E(y | x) is linear in the unknown parameters that are estimated from the data. For this reason, polynomial regression is considered to be a special case of multiple linear regression . Things to know You can select from 33 source types The source is smoothed before being injected into the Polynomial fitting algorithm, there are 35+ moving averages to choose from for smoothing This indicator is very processor heavy. so it will take some time load on the chart. Ideally the period input should allow for values from 1 to 200 or more, but due to processing restraints on Trading View, the max value is 80. Included Alerts Signals Bar coloring Other indicators in this series using Polynomial Regression Analysis. Poly Cycle PA-Adaptive Polynomial Regression Fitted Moving Average
Pine Script® Indikator
von loxx
1
RSI Divergence Scanner by zdmreDivergence is when the price of an asset is moving in the opposite direction of a technical indicator, such as an oscillator, or is moving contrary to other data. Divergence warns that the current price trend may be weakening, and in some cases may lead to the price changing direction. If the stock is rising and making new highs, ideally the RSI is reaching new highs as well. If the stock is making new highs, but the RSI starts making lower highs, this warns the price uptrend may be weakening. This is negative divergence. Positive divergence is the opposite situation. Imagine the price of a stock is making new lows while the RSI makes higher lows with each swing in the stock price. Investors may conclude that the lower lows in the stock price are losing their downward momentum and a trend reversal may soon follow. Divergence is one of the common uses of many technical indicators, primarily the oscillators. Use it at your own risk
Pine Script® Indikator
von zdmre
43
Everything Bitcoin [Kioseff Trading]Hello! This script retrieves most of the available Bitcoin data published by Quandl; the script utilizes the new request.security_lower_tf() function. Included statistics, True price Volume Difficulty My Wallet # Of Users Average Block Size api.blockchain size Median Transaction Confirmation Time Miners' Revenue Hash Rate Cost Per Transaction Cost % of Transaction Volume Estimated Transaction Volume USD Total Output Volume Number Of Transactions Per Block # of Unique BTC Addresses # of BTC Transactions Excluding Popular Addresses Total Number of Transactions Daily # of Transactions Total Transaction Fees USD Market Cap Total BTC Retrieved data can be plotted as line graphs; however, the data is initially split between two tables. The image above shows how the requested Bitcoin data is displayed. However, in the user inputs tab, you can modify how the data is displayed. For instance, you can append the data displayed in the floating statistics box to the stagnant statistics box. The image above exemplifies the instance. You can hide any and all data via the user inputs tab. In addition to data publishing, the script retrieves lower timeframe price/volume/indicator data, to which the values of the requested data are appended to center-right table. The image above shows the script retrieving one-minute bar data. Up arrows reflect an increase in the more recent value, relative to the immediately preceding value. Down arrows reflect a decrease in the more recent value relative to the immediately preceding value. The ascending minute column reflects the number of minutes/hours (ago) the displayed value occurred. For instance, 15 minutes means the displayed value occurred 15 minutes prior to the current time (value). Volume, price, and indicator data can be retrieved on lower timeframe charts ranging from 1 minute to 1440 minutes. The image above shows retrieved 5-minute volume data. Several built-in indicators are included, to which lower timeframe values can be retrieved. The image above shows LTF VWAP data. Also distinguished are increases/decreases for sequential values. The image above shows a dynamic regression channel. The channel terminates and resets each fiscal quarter. Previous channels remain on the chart. Lastly, you can plot any of the requested data. The new request.security_lower_tf() function is immensely advantageous - be sure to try it in your scripts!
Pine Script® Indikator
von KioseffTrading
32
SMI MTF 4-Colored MAs (jkf)Four linear moving averages of varying frequency. Reading the moving averages is an art. If looking at a Daily price chart (for example): For bullish trades, I like to see the yellow (longest term) moving average moving higher, but timing can be improved by respecting the shorter term lines, especially the black (shortest term). For further support of your hypothesis, switch the frequency to Weekly, and validate that is supportive as well. Warning: "Lookahead" is set to on, so large price swings can alter prior day readings.
Pine Script® Indikator
von simplenothing
2
Trend Line RegressionThis is a fast trend line regressor based on least squares regression. (1) Supports setting regression from the Nth candle (2) Supports the minimum and maximum regression candle interval length (3) Supports finding the optimal regression region based on the length step among the minimum and maximum regression region lengths (4) Supports displaying the optimal regression level (5) The size of the regression region is 0.5 times the standard deviation by default (6) You can filter the trend line by setting minimum trend line regression level (6) Please properly set the parameters to avoid calculation timeout Enjoy! 这是一个基于最小二乘法回归的快速趋势线回归 (1) 支持从第N根蜡烛开始设置回归 (2) 支持最小和最大的回归蜡烛区间长度 (3) 支持在最小和最大回归区间长度的基础上寻找最佳回归区域 (4) 支持显示最佳回归水平 (5) 回归区域的大小默认为标准差的0.5倍 (6) 可以通过设置最小趋势线回归等级来过滤趋势线 (6) 请正确设置参数以避免计算超时 使用愉快!
Pine Script® Indikator
von dandrideng
9
Price Region RegressionThis is an optimized price range regressor based on least squares regression. (1) Supports setting regression from the Nth candle (2) Supports the minimum and maximum regression candle interval length (3) Supports finding the optimal regression region based on the length step among the minimum and maximum regression region lengths (4) Supports displaying the optimal regression level (5) The size of the regression region is two times the standard deviation by default 这是一个基于最小二乘回归的价格区间回归指标 (1) 支持设置从第N个蜡烛开始回归 (2) 支持最小和最大回归蜡烛的区间长度 (3) 在最小和最大回归区间长度中，根据长度步进寻找最优的回归区间 (4) 支持显示最优回归等级 (5) 回归区间的大小默认为2倍标准差
Pine Script® Indikator
von dandrideng
4
[_ParkF]Linreg & Trendlines* The script has been uploaded again. Linear regression and trendline not only facilitate trend identification, but also identify support and resistance within it, and linear regression and trendline departure can detect trend changes, which are useful in trading. Linear regression and trend lines are shown in the chart. It offers a variety of options, length, color, thickness, on/off switch, etc. I hope it will help you with your trading. hope you become rich! --------------------------------------------------------------------------------------------------------------------------- * 스크립트가 다시 업로드 되었습니다. 선형 회귀(채널) 및 추세선은 추세 식별을 용이하게 할 뿐만 아니라, 또한 그 안에서 지지와 저항을 식별하고, 선형 회귀(채널) 및 추세선 이탈은 거래에 유용한 추세 변화를 감지할 수 있습니다. 선형 회귀(채널) 및 추세선이 차트에 표시됩니다. 길이, 색상, 두께, 온/오프 스위치 등 다양한 옵션을 제공합니다. 거래에 도움이 되셨으면 합니다. 부자되세요! --------------------------------------------------------------------------------------------------------------------------- * I would like to express my gratitude to zdmre for revealing the linear regression source.
Pine Script® Indikator
von ParkF
17