permanent regression line and spread

• 05/23/2025 at 5:29 PM #247567
  renzocarioca

  Hi,

  This is the DJI index since 1928 with a regression line (red) till today.

  I would like to make this line “permanent” and chart the spread between the index price and the regression line.

  thank you

  

  renzocarioca

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  05/26/2025 at 9:22 AM #247598
  Iván

  Hi. You can calculate de linear regression and the spread like this:

  // --- PARAMETERS --- Lookback = 500 // Number of bars for regression // --- Linear Regression calculation --- slope = LinearRegressionSlope[Lookback](close) Intercept = average[Lookback](close) - Slope * average[Lookback](barindex) // Regression Line regressionLine = slope * barindex + intercept // --- SPREAD between price and Regression Line --- spread = close - regressionLine RETURN spread AS "Spread Price-Regression"

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  // --- PARAMETERS --- Lookback = 500 // Number of bars for regression   // --- Linear Regression calculation --- slope = LinearRegressionSlope[Lookback](close) Intercept = average[Lookback](close) - Slope * average[Lookback](barindex) // Regression Line regressionLine = slope * barindex + intercept   // --- SPREAD between price and Regression Line --- spread = close - regressionLine   RETURN spread AS "Spread Price-Regression"

  If you want print the regression line in the last bar you could use this code:

  defparam drawonlastbaronly=true Lookback = 500 // Number of bars for regression Slope = LinearRegressionSlope[Lookback](close) Intercept = average[Lookback](close) - Slope * average[Lookback](barindex) // Get Regression Line at Start and End of Lookback Period StartBar = barindex - Lookback EndBar = barindex RegStart = Intercept + Slope * StartBar RegEnd = Intercept + Slope * EndBar if islastbarupdate then drawsegment(StartBar, RegStart, EndBar, RegEnd) coloured("blue") style(dottedline) // Regression Line endif return

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  defparam drawonlastbaronly=true   Lookback = 500  // Number of bars for regression   Slope = LinearRegressionSlope[Lookback](close) Intercept = average[Lookback](close) - Slope * average[Lookback](barindex)   // Get Regression Line at Start and End of Lookback Period StartBar = barindex - Lookback EndBar = barindex   RegStart = Intercept + Slope * StartBar RegEnd = Intercept + Slope * EndBar   if islastbarupdate then drawsegment(StartBar, RegStart, EndBar, RegEnd) coloured("blue") style(dottedline)  // Regression Line endif   return

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  Zigo

  

  Iván

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  05/26/2025 at 8:59 PM #247635
  renzocarioca

  thanks but I need to have a fixed starting date. Ex 19281031

  The regression line shown in the chart (illustration) basically is like a “money market” with an average compounded return..

  since I can know the coordinates of two points  ex:  date and  value,  because I can measure them in the chart,  it can become a “permanent line” and once in a while…   I can change change the second point.

  Then I can calculate the spread between the closing price and such line..

  makes sense to you?

  I tried like this to start with but…    it says  x1,y1  is undefined..

  DRAWLINE(x1,y1,x2,y2)
  xl=date=19283110
  yl=252
  x2=date=1980831
  y2=2781.78
  DRAWLINE(x1,y1,x2,y2)
  return

   

   

  

  renzocarioca

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  05/27/2025 at 9:28 AM #247643
  Iván

  For example, if you have 5k sails loaded, there will actually be 5499 sails. You can put a lookback=5499

  Your code doesn’t work because x can’t be a date, it’s a barindex.

  for example you could locate the candle that meets opendate=20241208 and then store the X as a barindex.

  if opendate=20241208 and opendate<>opendate[1] then x=barindex y=close endif

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  if opendate=20241208 and opendate<>opendate[1] then x=barindex y=close endif

  

  Iván

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  05/27/2025 at 6:18 PM #247659
  renzocarioca

  thanks for your help but sorry, getting confusing to me here.

  it seems mission impossible to translate a regression line drawn in the chart (see illustration) into a script, formula   which i can use to calculate such spread

  there are many things great about prorealtime but others which seems hard to figure out.

  

  renzocarioca

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  05/27/2025 at 7:01 PM #247660
  druby

  Just a few comments on  earlier example with DRAWLINE

  Your example uses DRAWLINE twice, the first time appears being used before defining x1, this will triggered the ‘undefinrd’ error. (x1 doesn’t = a value, it still = UNDEFINED)

  You cannot enter a date directly for x1 and x2 in DRAW commands however, take a look at the DATETOBARINDEX( YYYYMMDDhhmmss )  command.

  This command retrieves the barindex value that relates to the date/time set in the brackets.

  The value received is not available to use as a variable, and the (date/time) doesn’t need all the date/time but all options start from the YYYY side.

  ex.

  x1 = 20241201

  y1 = 252

  x2 = 20250501

  y2 = 2781.78

  DRAWLINE(DATETOBARINDEX(x1), y1, DATETOBARINDEX(x2), y2)

  One note, the dates need to be covered by the historical bars of the chart.

  Not sure if this is helpful in you bigger problem, but just thought I’d point it out as a reference.

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  druby

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  06/02/2025 at 3:13 PM #247811
  renzocarioca

  thank you,  I’ll give a try

  

  renzocarioca

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