Sunday 18 October 2009

Formula

Smoothed price = Moving Average (Price, Z), where Z - period moving average

(Note: If smoothing is not required (only the price), the period moving average should be set to 1. In this case, the smoothed price is the same as the price.)

The band regression = regression (smoothed price, X) + Slope * Y, where
Z - period moving average
X - the period of regression
Y - the forecast period (if not necessarily equal to 0)
Slope - slope of the regression line

The upper band = band regression + standard deviation (smoothed price, X) * N, where
N - standard deviation (s)
X - the period of regression

Lower band = band regression - standard deviation (smoothed price, X) * N, where
N - standard deviation (s)
X - the period of regression

Oscillator Linear Regression = (Price - Stripe regression / standard deviation (smoothed price, X), where X - the period of regression

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