Integral of Linear Regression Slope

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Integral of Linear Regression Slope

Postby Alexander.Gettinger » Mon Nov 25, 2013 2:34 pm

Integral of Linear Regression Slope (ILRS moving average).

Formulas:
ILRS[i]=(N*Sum1-Sum*Sumy)/(Sum*Sum-N*Sum2)+MVA(I,N), where
Sum=N*(N-1)*0.5,
Sum2=N*(N-1)*(2*N-1)/6,
Sum1=1*Price[i-1]+2*Price[i-2]+…+(N-1)*Price[i-N+1],
Sumy=Price[i]+Price[i-1]+…+Price[i-N+1],
MVA(i,N) – Simple Moving Average,
N - Length.

ILRS_MA_MQL.PNG


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Alexander.Gettinger
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