Linear Regression Line – Where Does it Start?

This is a discussion on Linear Regression Line – Where Does it Start? within the Technical Analysis forums, part of the Methods category; I wanted to verify my calculation for a linier regression line so I compared it with the line in QuoteTracker. ...

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Old May 3, 2006, 10:06pm   #1
 
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Question Linear Regression Line – Where Does it Start?

I wanted to verify my calculation for a linier regression line so I compared it with the line in QuoteTracker. The end point always comes out the same but the start point always comes out different.

I thought it should start from the linear regression value at the start period of the current line, e.g for a 20 period line the end be calculated from the last 20 minute block and the start from the 20 minutes before that but that doesn’t seem to be the case.

So, where should the line start?

Also, could you just confirm I’ve done the calculation right?

Click the image to open in full size.

The above calculation should match the middle line here:

Click the image to open in full size.

As you can see the end point appears to come out righ but the start point is $0.03 from where it should be. So is the caculation for the end point correct, and how should the start point be calculated

Thanks for your help.
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Old May 4, 2006, 12:59am   #2
 
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I think the line in question should begin at the value of a+b for the regression covering the period 13:32-13:51.
Not quite sure why you're regressing the 20-point period before the period you're interested in.
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Old May 4, 2006, 3:16pm   #3
 
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oliverwest started this thread Thanks a lot for the help. I’m a little slow and couldn’t work out where to start the line from As you say it’s just y=a+bx but since it’s the first period x is 1 so it’s just y=a+b. I did actually think that but I started counting from the first period at 0 instead of 1 so it obviously gave the wrong result. After that I went on to trying other stuff like seeing if the start point was the end point of the previous 20 period. All sorted now though.

Thanks again for the help.

Last edited by oliverwest; May 6, 2006 at 11:02pm.
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Old May 25, 2006, 12:55am   #4
 
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A lot of good work in your spreadsheet, but i'd be lying if it doesnt give me an eye strain looking at it for too long. We filter for divergences from the linear regression at TI. Our definition of how it works: http://www.trade-ideas.com/Help.html#wsf_MinLR130
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Old Jun 28, 2006, 3:46pm   #5
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Hi

I'm searching information about how this works. Complet from the begin. Does anyone has infomation?
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Old Aug 2, 2006, 9:03am   #6
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Anyone?
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Old Mar 29, 2007, 8:11pm   #7
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signals I receive are very late.
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