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Momentum Linear Regression
July 23, 2015, 9:06 PM
Indicators
3 Comments
This is an indicator made of the linear regression applied to the rate of change of price (or momentum).
I made a simple signal line just by duplicating the first one within a period decay in the past, to make those 2 lines cross. You can add more periods decay to made signal smoother with less false entry.
//parameters :
//MOM = 10
//LR = 14
//decay = 1
MOMENT = Momentum[MOM](Close)
LRMOM = LinearRegression[LR](MOMENT)
LRMOMDECAY = LRMOM[DECAY]
RETURN LRMOM,LRMOMDECAY
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Filename:
Linear-Regression-of-Momentum.itf
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330
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Moving your last response to this post. Thanks for conforming the code below. How does PRT/PRC code Momentum? Is it (C / CP) ? Using the code above, LRMOM = LinearRegression [LR] (MOMENT) I get a volatile result. If I use LRMOM = LinearRegression[LR] - (MOMENT) I get a smooth result. Hence my question, please advise. SB-FO • 17 hours ago # Nicolas, can you share with me how PRT calculates LinearRegression ? Is it (3 * WeightedAverage Close X – 2 * AVERAGE Close X) X= Period? avatar Nicolas • 8 hours ago # The above code is the way it is calculated in PRT. However the exact indicator can be found here: https://www.prorealcode.com/prorealtime-indicators/standard-deviation-standard-error-linear-regression-channel/