Linear Regression Slope by zuijaideai
47570 downloads / 5485 views / Created: 23.05.2013
Average Rating: 0
Indicator Description
Hi All,
This is a new indicator. The logic of the Linear Regression Slope indicator is actually quite simple. Linear regression line is a plot of a slope line that try to conform or approach the scattered data. And if this scattered data is an average value of higher and lower data then we can try to plot this slope line to approach this data. The LRS will plot the slope value of this linear line. A zero value indicate that the line is horizontal or the price is reaching it's minimum or maximum value. Positive LRS value indicate the line is leaning upward or the price is increasing and negative LRS value indicate the line/price is sliding downward.
Link to the forum topic: Linear Regression Slope
Rgds
Denny Imanuel
imanuel.denny@gmail.com
This is a new indicator. The logic of the Linear Regression Slope indicator is actually quite simple. Linear regression line is a plot of a slope line that try to conform or approach the scattered data. And if this scattered data is an average value of higher and lower data then we can try to plot this slope line to approach this data. The LRS will plot the slope value of this linear line. A zero value indicate that the line is horizontal or the price is reaching it's minimum or maximum value. Positive LRS value indicate the line is leaning upward or the price is increasing and negative LRS value indicate the line/price is sliding downward.
Link to the forum topic: Linear Regression Slope
Rgds
Denny Imanuel
imanuel.denny@gmail.com
Comments
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//==============================================================
// Forex Strategy Builder
// Copyright © Miroslav Popov. All rights reserved.
//==============================================================
// THIS CODE IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND,
// EITHER EXPRESSED OR IMPLIED, INCLUDING BUT NOT LIMITED TO
// THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
// A PARTICULAR PURPOSE.
//==============================================================
using System;
using System.Drawing;
using ForexStrategyBuilder.Infrastructure.Entities;
using ForexStrategyBuilder.Infrastructure.Enums;
using ForexStrategyBuilder.Infrastructure.Interfaces;
namespace ForexStrategyBuilder.Indicators.Store
{
public class LinearRegressionSlope : Indicator
{
public LinearRegressionSlope()
{
IndicatorName = "Linear Regression Slope";
PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter;
SeparatedChart = true;
IndicatorAuthor = "Denny Imanuel";
IndicatorVersion = "2.0";
IndicatorDescription = "Linear regression line is a plot of a slope line that try to conform or approach the scattered data.";
}
public override void Initialize(SlotTypes slotType)
{
SlotType = slotType;
// The ComboBox parameters
IndParam.ListParam[0].Caption = "Logic";
IndParam.ListParam[0].ItemList = new string[]
{
"The LR Slope rises",
"The LR Slope falls",
"The LR Slope is higher than the Level line",
"The LR Slope is lower than the Level line",
"The LR Slope crosses the Level line upward",
"The LR Slope crosses the Level line downward",
"The LR Slope changes its direction upward",
"The LR Slope changes its direction downward"
};
IndParam.ListParam[0].Index = 0;
IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[IndParam.ListParam[0].Index];
IndParam.ListParam[0].Enabled = true;
IndParam.ListParam[0].ToolTip = "Logic of application of the indicator.";
IndParam.ListParam[1].Caption = "Smoothing method";
IndParam.ListParam[1].ItemList = Enum.GetNames(typeof(MAMethod));
IndParam.ListParam[1].Index = (int)MAMethod.Simple;
IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index];
IndParam.ListParam[1].Enabled = true;
IndParam.ListParam[1].ToolTip = "The method used for smoothing the both Moving Averages.";
IndParam.ListParam[2].Caption = "Base price";
IndParam.ListParam[2].ItemList = Enum.GetNames(typeof(BasePrice));
IndParam.ListParam[2].Index = (int)BasePrice.Typical;
IndParam.ListParam[2].Text = IndParam.ListParam[2].ItemList[IndParam.ListParam[2].Index];
IndParam.ListParam[2].Enabled = true;
IndParam.ListParam[2].ToolTip = "The price the both Moving Averages are based on.";
// The NumericUpDown parameters
IndParam.NumParam[0].Caption = "Smoothing period";
IndParam.NumParam[0].Value = 5;
IndParam.NumParam[0].Min = 1;
IndParam.NumParam[0].Max = 200;
IndParam.NumParam[0].Enabled = true;
IndParam.NumParam[0].ToolTip = "The period of MA smoothing.";
IndParam.NumParam[1].Caption = "Regression length";
IndParam.NumParam[1].Value = 5;
IndParam.NumParam[1].Min = 1;
IndParam.NumParam[1].Max = 200;
IndParam.NumParam[1].Enabled = true;
IndParam.NumParam[1].ToolTip = "The length of linear regression";
IndParam.NumParam[2].Caption = "Level";
IndParam.NumParam[2].Value = 0;
IndParam.NumParam[2].Min = -100;
IndParam.NumParam[2].Max = 100;
IndParam.NumParam[2].Point = 4;
IndParam.NumParam[2].Enabled = true;
IndParam.NumParam[2].ToolTip = "A critical level (for the appropriate logic).";
// The CheckBox parameters
IndParam.CheckParam[0].Caption = "Use previous bar value";
IndParam.CheckParam[0].Enabled = true;
IndParam.CheckParam[0].ToolTip = "Use the indicator value from the previous bar.";
}
public override void Calculate(IDataSet dataSet)
{
DataSet = dataSet;
// Reading the parameters
MAMethod maMethod = (MAMethod )IndParam.ListParam[1].Index;
BasePrice basePrice = (BasePrice)IndParam.ListParam[2].Index;
int iMAPeriod = (int)IndParam.NumParam[0].Value;
int iLRLength = (int)IndParam.NumParam[1].Value;
double dLevel = IndParam.NumParam[2].Value;
int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0;
double[] dX = new double[Bars];
double[] dY = new double[Bars];
double dSigX;
double dSigY;
double dSigXY;
double dSigXX;
double[] adLRSlope = new double[Bars];
int iFirstBar = iMAPeriod + iLRLength + 2;
double[] adMAPrice = MovingAverage(iMAPeriod, 0, maMethod, Price(basePrice));
for (int iBar = iFirstBar; iBar < Bars; iBar++)
{
dSigX = 0;
dSigY = 0;
dSigXX = 0;
dSigXY = 0;
for (int index = 0; index < iLRLength; index++)
{
dSigX = dSigX + index;
dSigY = dSigY + adMAPrice[iBar-index];
dSigXY = dSigXY + index * adMAPrice[iBar-index];
dSigXX = dSigXX + index * index;
}
adLRSlope[iBar] = - (iLRLength*dSigXY - dSigX*dSigY)/(iLRLength*dSigXX - dSigX*dSigX);
}
// Saving the components
Component = new IndicatorComp[3];
Component[0] = new IndicatorComp();
Component[0].CompName = "LR Slope";
Component[0].DataType = IndComponentType.IndicatorValue;
Component[0].ChartType = IndChartType.Histogram;
Component[0].FirstBar = iFirstBar;
Component[0].Value = adLRSlope;
Component[1] = new IndicatorComp();
Component[1].ChartType = IndChartType.NoChart;
Component[1].FirstBar = iFirstBar;
Component[1].Value = new double[Bars];
Component[2] = new IndicatorComp();
Component[2].ChartType = IndChartType.NoChart;
Component[2].FirstBar = iFirstBar;
Component[2].Value = new double[Bars];
// Sets the Component's type
if (SlotType == SlotTypes.OpenFilter)
{
Component[1].DataType = IndComponentType.AllowOpenLong;
Component[1].CompName = "Is long entry allowed";
Component[2].DataType = IndComponentType.AllowOpenShort;
Component[2].CompName = "Is short entry allowed";
}
else if (SlotType == SlotTypes.CloseFilter)
{
Component[1].DataType = IndComponentType.ForceCloseLong;
Component[1].CompName = "Close out long position";
Component[2].DataType = IndComponentType.ForceCloseShort;
Component[2].CompName = "Close out short position";
}
// Calculation of the logic
IndicatorLogic indLogic = IndicatorLogic.It_does_not_act_as_a_filter;
switch (IndParam.ListParam[0].Text)
{
case "The LR Slope rises":
indLogic = IndicatorLogic.The_indicator_rises;
SpecialValues = new double[1] { 0 };
break;
case "The LR Slope falls":
indLogic = IndicatorLogic.The_indicator_falls;
SpecialValues = new double[1] { 0 };
break;
case "The LR Slope is higher than the Level line":
indLogic = IndicatorLogic.The_indicator_is_higher_than_the_level_line;
SpecialValues = new double[2] { dLevel, -dLevel };
break;
case "The LR Slope is lower than the Level line":
indLogic = IndicatorLogic.The_indicator_is_lower_than_the_level_line;
SpecialValues = new double[2] { dLevel, -dLevel };
break;
case "The LR Slope crosses the Level line upward":
indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_upward;
SpecialValues = new double[2] { dLevel, -dLevel };
break;
case "The LR Slope crosses the Level line downward":
indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_downward;
SpecialValues = new double[2] { dLevel, -dLevel };
break;
case "The LR Slope changes its direction upward":
indLogic = IndicatorLogic.The_indicator_changes_its_direction_upward;
SpecialValues = new double[1] { 0 };
break;
case "The LR Slope changes its direction downward":
indLogic = IndicatorLogic.The_indicator_changes_its_direction_downward;
SpecialValues = new double[1] { 0 };
break;
}
OscillatorLogic(iFirstBar, iPrvs, adLRSlope, dLevel, -dLevel, ref Component[1], ref Component[2], indLogic);
}
public override void SetDescription()
{
string sLevelLong = (IndParam.NumParam[2].Value == 0 ? "0" : IndParam.NumParam[2].ValueToString);
string sLevelShort = (IndParam.NumParam[2].Value == 0 ? "0" : "-" + IndParam.NumParam[2].ValueToString);
EntryFilterLongDescription = "the " + ToString() + " ";
EntryFilterShortDescription = "the " + ToString() + " ";
ExitFilterLongDescription = "the " + ToString() + " ";
ExitFilterShortDescription = "the " + ToString() + " ";
switch (IndParam.ListParam[0].Text)
{
case "The LR Slope rises":
EntryFilterLongDescription += "rises";
EntryFilterShortDescription += "falls";
ExitFilterLongDescription += "rises";
ExitFilterShortDescription += "falls";
break;
case "The LR Slope falls":
EntryFilterLongDescription += "falls";
EntryFilterShortDescription += "rises";
ExitFilterLongDescription += "falls";
ExitFilterShortDescription += "rises";
break;
case "The LR Slope is higher than the Level line":
EntryFilterLongDescription += "is higher than the Level " + sLevelLong;
EntryFilterShortDescription += "is lower than the Level " + sLevelShort;
ExitFilterLongDescription += "is higher than the Level " + sLevelLong;
ExitFilterShortDescription += "is lower than the Level " + sLevelShort;
break;
case "The LR Slope is lower than the Level line":
EntryFilterLongDescription += "is lower than the Level " + sLevelLong;
EntryFilterShortDescription += "is higher than the Level " + sLevelShort;
ExitFilterLongDescription += "is lower than the Level " + sLevelLong;
ExitFilterShortDescription += "is higher than the Level " + sLevelShort;
break;
case "The LR Slope crosses the Level line upward":
EntryFilterLongDescription += "crosses the Level " + sLevelLong + " upward";
EntryFilterShortDescription += "crosses the Level " + sLevelShort + " downward";
ExitFilterLongDescription += "crosses the Level " + sLevelLong + " upward";
ExitFilterShortDescription += "crosses the Level " + sLevelShort + " downward";
break;
case "The LR Slope crosses the Level line downward":
EntryFilterLongDescription += "crosses the Level " + sLevelLong + " downward";
EntryFilterShortDescription += "crosses the Level " + sLevelShort + " upward";
ExitFilterLongDescription += "crosses the Level " + sLevelLong + " downward";
ExitFilterShortDescription += "crosses the Level " + sLevelShort + " upward";
break;
case "The LR Slope changes its direction upward":
EntryFilterLongDescription += "changes its direction upward";
EntryFilterShortDescription += "changes its direction downward";
ExitFilterLongDescription += "changes its direction upward";
ExitFilterShortDescription += "changes its direction downward";
break;
case "The LR Slope changes its direction downward":
EntryFilterLongDescription += "changes its direction downward";
EntryFilterShortDescription += "changes its direction upward";
ExitFilterLongDescription += "changes its direction downward";
ExitFilterShortDescription += "changes its direction upward";
break;
}
}
///
/// Indicator to string
///
public override string ToString()
{
return IndicatorName +
(IndParam.CheckParam[0].Checked ? "* (" : " (") +
IndParam.ListParam[1].Text + ", " + // Method
IndParam.ListParam[2].Text + ", " + // Price
IndParam.NumParam[0].ValueToString + ", " + // MA Period
IndParam.NumParam[1].ValueToString + ")"; // LR Length
}
}
}
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163//+--------------------------------------------------------------------+ //| Copyright: (C) 2014, Miroslav Popov - All rights reserved! | //| Website: http://forexsb.com/ | //| Support: http://forexsb.com/forum/ | //| License: Proprietary under the following circumstances: | //| | //| This code is a part of Forex Strategy Builder. It is free for | //| use as an integral part of Forex Strategy Builder. | //| One can modify it in order to improve the code or to fit it for | //| personal use. This code or any part of it cannot be used in | //| another applications without a permission. Contact information | //| cannot be changed. | //| | //| NO LIABILITY FOR CONSEQUENTIAL DAMAGES | //| | //| In no event shall the author be liable for any damages whatsoever | //| (including, without limitation, incidental, direct, indirect and | //| consequential damages, damages for loss of business profits, | //| business interruption, loss of business information, or other | //| pecuniary loss) arising out of the use or inability to use this | //| product, even if advised of the possibility of such damages. | //+--------------------------------------------------------------------+ #property copyright "Copyright 2014, Miroslav Popov" #property link "http://forexsb.com" #property version "1.00" #property strict #include <Forexsb.com/Indicator.mqh> #include <Forexsb.com/Enumerations.mqh> //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ class LinearRegressionSlope : public Indicator { public: LinearRegressionSlope(SlotTypes slotType) { SlotType=slotType; IndicatorName="Linear Regression Slope"; WarningMessage = ""; IsAllowLTF = true; ExecTime = ExecutionTime_DuringTheBar; IsSeparateChart = true; IsDiscreteValues = false; IsDeafultGroupAll = false; } virtual void Calculate(DataSet &dataSet); }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void LinearRegressionSlope::Calculate(DataSet &dataSet) { Data=GetPointer(dataSet); // Reading the parameters MAMethod maMethod = (MAMethod )ListParam[1].Index; BasePrice basePrice = (BasePrice)ListParam[2].Index; int iMAPeriod = (int)NumParam[0].Value; int iLRLength = (int)NumParam[1].Value; double dLevel = NumParam[2].Value; int iPrvs = CheckParam[0].Checked ? 1 : 0; double dSigX; double dSigY; double dSigXY; double dSigXX; double adLRSlope[]; ArrayResize(adLRSlope,Data.Bars); ArrayInitialize(adLRSlope, 0); int iFirstBar=iMAPeriod+iLRLength+2; double basePrc[]; Price(basePrice,basePrc); double adMAPrice[]; MovingAverage(iMAPeriod,0,maMethod,basePrc,adMAPrice); for(int iBar=iFirstBar; iBar<Data.Bars; iBar++) { dSigX = 0; dSigY = 0; dSigXX = 0; dSigXY = 0; for(int index=0; index<iLRLength; index++) { dSigX = dSigX + index; dSigY = dSigY + adMAPrice[iBar-index]; dSigXY = dSigXY + index * adMAPrice[iBar-index]; dSigXX = dSigXX + index * index; } adLRSlope[iBar]=-(iLRLength*dSigXY-dSigX*dSigY)/(iLRLength*dSigXX-dSigX*dSigX); } // Saving the components ArrayResize(Component[0].Value,Data.Bars); Component[0].CompName = "LR Slope"; Component[0].DataType = IndComponentType_IndicatorValue; Component[0].FirstBar = iFirstBar; ArrayCopy(Component[0].Value,adLRSlope); ArrayResize(Component[1].Value,Data.Bars); Component[1].FirstBar=iFirstBar; ArrayResize(Component[2].Value,Data.Bars); Component[2].FirstBar=iFirstBar; // Sets the Component's type if(SlotType==SlotTypes_OpenFilter) { Component[1].DataType = IndComponentType_AllowOpenLong; Component[1].CompName = "Is long entry allowed"; Component[2].DataType = IndComponentType_AllowOpenShort; Component[2].CompName = "Is short entry allowed"; } else if(SlotType==SlotTypes_CloseFilter) { Component[1].DataType = IndComponentType_ForceCloseLong; Component[1].CompName = "Close out long position"; Component[2].DataType = IndComponentType_ForceCloseShort; Component[2].CompName = "Close out short position"; } // Calculation of the logic IndicatorLogic indLogic=IndicatorLogic_It_does_not_act_as_a_filter; if(ListParam[0].Text=="The LR Slope rises") { indLogic=IndicatorLogic_The_indicator_rises; } else if(ListParam[0].Text=="The LR Slope falls") { indLogic=IndicatorLogic_The_indicator_falls; } else if(ListParam[0].Text=="The LR Slope is higher than the Level line") { indLogic=IndicatorLogic_The_indicator_is_higher_than_the_level_line; } else if(ListParam[0].Text=="The LR Slope is lower than the Level line") { indLogic=IndicatorLogic_The_indicator_is_lower_than_the_level_line; } else if(ListParam[0].Text=="The LR Slope crosses the Level line upward") { indLogic=IndicatorLogic_The_indicator_crosses_the_level_line_upward; } else if(ListParam[0].Text=="The LR Slope crosses the Level line downward") { indLogic=IndicatorLogic_The_indicator_crosses_the_level_line_downward; } else if(ListParam[0].Text=="The LR Slope changes its direction upward") { indLogic=IndicatorLogic_The_indicator_changes_its_direction_upward; } else if(ListParam[0].Text=="The LR Slope changes its direction downward") { indLogic=IndicatorLogic_The_indicator_changes_its_direction_downward; } OscillatorLogic(iFirstBar,iPrvs,adLRSlope,dLevel,-dLevel,Component[1],Component[2],indLogic); } //+------------------------------------------------------------------+
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Copyright © 2006 - 2025, Forex Software Ltd.;