linear regression line w std deviation channels.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Linear Regression Line w/ Std Deviation Channels
//  Author/Uploader: Patrick Hargus 
//  E-mail:          
//  Date/Time Added: 2005-03-07 00:58:06
//  Origin:          Based on the Linear Regression Indicator found in TC2000 and the AB Lin Regression Drawing Tool.
//  Keywords:        linnear regression, standard deviation
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=438
//  Details URL:     http://www.amibroker.com/library/detail.php?id=438
//
//------------------------------------------------------------------------------
//
//  Plot a linear regression line of any price field available on a chart for a
//  period determined by the user. 2 Channels are plotted above and below based
//  on standard deviations of the linear regression line as determined by the
//  user. A look back feature is also provided for examining how the indicator
//  would have appeared on a chart X periods in the past. Designed for AB
//  versions 4.63 and above using drag and drop feature with user variable
//  Params.
//
//  Various explorations based on crossovers, excursions and returns within the
//  SD channels are easily added.
//
//------------------------------------------------------------------------------

//  Linear Regression Line with 2 Standard Deviation Channels Plotted Above and Below 
//  Written by Patrick Hargus, with critical hints from Marcin Gorzynski, Amibroker.com Technical Support 
//      Designed for use with AB 4.63 beta and above, using drag and drop feature.  
//  Permits plotting a linear regression line of any price field available on the chart for a period determined by the user.  
//     2 Channels, based on a standard deviation each determined by the user, are plotted above and below the linear regression line. 
// 		A look back feature is also provided for examining how the indicator would have appeared on a chart X periods in the past.    


P = ParamField("Price field",-1);
Daysback = Param("Period for Liner Regression Line",21,1,240,1);
shift = Param("Look back period",0,0,240,1); 


//  =============================== Math Formula =============================================================

x = Cum(1);
lastx = LastValue( x ) - shift; 
aa = LastValue( Ref(LinRegIntercept( p, Daysback), -shift) ); 
bb = LastValue( Ref(LinRegSlope( p, Daysback ), -shift) ); 
y = Aa + bb * ( x - (Lastx - DaysBack +1 ) ); 


// ==================Plot the Linear Regression Line ==========================================================


LRColor = ParamColor("LR Color", colorCycle ); 
LRStyle = ParamStyle("LR Style");

LRLine =  IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y, Null );
Plot( LRLine , "LinReg", LRCOLOR, LRSTYLE ); //  styleDots ); 

// ==========================  Plot 1st SD Channel ===============================================================

SDP = Param("Standard Deviation", 1.5, 0, 6, 0.1);
SD = SDP/2;

width = LastValue( Ref(SD*StDev(p, Daysback),-shift) );   // THIS IS WHERE THE WIDTH OF THE CHANELS IS SET  
SDU = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y+width , Null ) ;
SDL = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y-width , Null ) ;

SDColor = ParamColor("SD Color", colorCycle ); 
SDStyle = ParamStyle("SD Style");

Plot( SDU , "Upper Lin Reg", SDColor,SDStyle ); 
Plot( SDL , "Lower Lin Reg", SDColor,SDStyle ); 

//  ==========================  Plot 2d SD Channel ===============================================================

SDP2 = Param("2d Standard Deviation", 2.0, 0, 6, 0.1);
SD2 = SDP2/2;

width2 = LastValue( Ref(SD2*StDev(p, Daysback),-shift) );   // THIS IS WHERE THE WIDTH OF THE CHANELS IS SET  
SDU2 = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y+width2 , Null ) ;
SDL2 = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y-width2 , Null ) ;

SDColor2 = ParamColor("2 SD Color", colorCycle ); 
SDStyle2 = ParamStyle("2 SD Style");

Plot( SDU2 , "Upper Lin Reg", SDColor2,SDStyle2 ); 
Plot( SDL2 , "Lower Lin Reg", SDColor2,SDStyle2 ); 

// ============================ End Indicator Code ==============================================================