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
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"
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
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
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
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.
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.
thank you, I’ll give a try
