Regression reference
All 4 regression in AlgoBarsX, each with its parameters, defaults, ranges and an example: linreg_slope, linreg_intercept, r_squared, ols.
linreg_slope linreg_intercept r_squared ols
linreg_slope(source = close, length = 20)→ series<number>#
Slope of the least-squares line.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
slope = linreg_slope(close, 20)strategyindicatoralertlibrarysince 1.0
linreg_intercept(source = close, length = 20)→ series<number>#
Intercept of the least-squares line.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
intercept = linreg_intercept(close, 20)strategyindicatoralertlibrarysince 1.0
r_squared(source = close, length = 20)→ series<number>#
Coefficient of determination of the least-squares line.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
fit_quality = r_squared(close, 20)strategyindicatoralertlibrarysince 1.0
ols(target, factors, length = 100)→ Regression#
Multi-factor least-squares regression.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
target | series<number> | required | Dependent series. | |
factors | list<series<number>> | required | Explanatory series. | |
length | int | 100 | 1 to 5000 | Number of bars in the calculation. |
Outputs, read with a dot
| Name | Type | What it is |
|---|---|---|
coefficients | list<number> | One per factor. |
intercept | number | Intercept. |
r_squared | number | Fit quality. |
residual | series<number> | Latest residual. |
model = ols(returns(close), [returns(close_of(EURUSD)), returns(close_of(XAUUSD))], 100)strategyindicatoralertlibrarysince 1.0