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Miha Kralj
58f0812584
- Implemented Vortex Indicator in Vortex.cs, including calculation logic and event handling. - Added detailed documentation for Vortex Indicator in Vortex.md, covering historical context, algorithm, outputs, and trading interpretation. - Updated oscillators index to include TTM Wave indicator. - Added TTM Wave documentation with algorithm and trading interpretation. - Updated reversals index to include TTM Scalper Alert indicator. - Added TTM Scalper Alert documentation with algorithm and trading strategy. - Updated NDepend badges to reflect increased code metrics (classes, methods, lines of code, public types, comments, and complexity).
2.7 KiB
2.7 KiB
TTM_LRC: TTM Linear Regression Channel
Pending Implementation - Placeholder for John Carter's TTM LRC indicator
Historical Context
John Carter's TTM LRC (Linear Regression Channel) provides a clean, statistically-based price channel using linear regression analysis. Unlike Bollinger Bands which measure volatility around a moving average, LRC measures price deviation from the trend line, making it particularly useful for identifying overbought/oversold conditions within a defined trend.
Algorithm
Linear Regression Line
// Least squares regression over N periods
slope = (N * ΣXY - ΣX * ΣY) / (N * ΣX² - (ΣX)²)
intercept = (ΣY - slope * ΣX) / N
midline = intercept + slope * (current_bar - start_bar)
Standard Deviation Bands
residuals = close - linreg_value
stddev = sqrt(Σ(residuals²) / N)
upper_band_1 = midline + 1 * stddev
lower_band_1 = midline - 1 * stddev
upper_band_2 = midline + 2 * stddev
lower_band_2 = midline - 2 * stddev
Default Parameters
| Parameter | Value | Description |
|---|---|---|
| Length | 100 | Regression lookback period |
| Deviations | 2.0 | Number of standard deviations for outer bands |
| ShowMidline | true | Display the regression line |
| ShowInnerBands | true | Display ±1σ bands |
Outputs
| Output | Type | Description |
|---|---|---|
| Midline | double | Linear regression value (trend line) |
| Upper1 | double | +1 standard deviation band |
| Lower1 | double | -1 standard deviation band |
| Upper2 | double | +2 standard deviation band |
| Lower2 | double | -2 standard deviation band |
| Slope | double | Current regression slope (trend direction) |
| RSquared | double | Coefficient of determination (trend quality) |
Band Interpretation
| Zone | Statistical Meaning | Trading Implication |
|---|---|---|
| Above +2σ | 2.5% probability | Extremely overbought |
| +1σ to +2σ | 13.5% probability | Overbought |
| -1σ to +1σ | 68% probability | Normal range |
| -2σ to -1σ | 13.5% probability | Oversold |
| Below -2σ | 2.5% probability | Extremely oversold |
Trading Strategy
- Trend Following: Trade in direction of slope when price bounces off midline
- Mean Reversion: Fade moves to ±2σ bands when R² is high
- Breakout: Watch for sustained moves beyond ±2σ as trend acceleration signals
Category
Channels - Linear regression-based price channel with statistical deviation bands.