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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
24e86d762a
- Updated BBWN, BBWP, CCV, CV, CVI, EWMA, GKV, HLV, HV, Jvolty, JVOLTYN, MASSI, NATR, RSV, RV, RVI, TR, UI, VOV, VR, YZV indicators with documentation links. - Added documentation links for Aberration, Acceleration Bands, Andrews' Pitchfork, Adaptive Price Zone, ATR Bands, Bollinger Bands, Center of Gravity, Donchian Channels, Decay Min-Max Channel, Detrended Synthetic Price, EACP, EBSW, HOMOD, Jurik Volatility Bands, Keltner Channel, MA Envelope, Min-Max Channel, Price Channel, Regression Channels, Standard Deviation Channel, Stoller Average Range Channel, Super Trend Bands, Ultimate Bands, Ultimate Channel, VWAP Bands, and VWAP with Standard Deviation Bands.
59 lines
1.9 KiB
Plaintext
59 lines
1.9 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Linear Regression (LINREG)", "LINREG", overlay=false, precision=8)
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//@function Calculates linear regression and slope over the specified period
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//@param src Source series to calculate linear regression from
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//@param len Lookback period for the calculation
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//@returns Tuple containing [intercept, slope]
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linreg(series float src, simple int len) =>
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if len < 2
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[na, na]
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else
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var float lastValid = na
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var array<float> buf = array.new_float(len, 0.0)
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var int count = 0
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var int head = 0
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float curr = src
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if na(curr) and not na(lastValid)
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curr := lastValid
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if not na(curr)
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lastValid := curr
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if not na(curr)
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array.set(buf, head, curr)
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if count < len
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count := count + 1
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head := (head + 1) % len
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float n = count
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if n < 2
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[na, na]
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else
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int start = count < len ? 0 : head
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float sumY = 0.0, sumXY = 0.0
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for i = 0 to int(n) - 1
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int idx = (start + i) % len
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float y_val = array.get(buf, idx)
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sumY += y_val
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sumXY += i * y_val
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float sumX = 0.5 * (n - 1) * n
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float sumX2 = (n - 1) * n * (2 * n - 1) / 6.0
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float D = n * sumX2 - sumX * sumX
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float s = D != 0 ? (n * sumXY - sumX * sumY) / D : na
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float intercept = (sumY / n) - s * ((n - 1) / 2)
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float lr = intercept + s * (n - 1)
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[lr, s]
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(14, "Period", minval=2)
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i_source = input.source(close, "Source")
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// Calculation: Assign tuple elements.
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[lr, slope] = linreg(i_source, i_period)
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// Plot
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plot(lr, "LinReg", color=color.yellow, linewidth=2)
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// plot(slope, "Slope", color=color.orange, linewidth=2, plot.style_histogram)
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