Attachments: Linear regression shift back

Linear regression shift back

#1
First Post: Jul 28, 2011 2:30am Jul 28, 2011 2:30am

mfurlend
| Joined Apr 2010 | Status: Trader | 165 Posts

I use a linear regression indicator (i-Regr) in my EA. Specifically, I use the slope of the linear regression.
I define the "slope" like this:

Inserted Code

slope = MathAbs(1000000*(CurrentReg - LastReg)/Period());

(where CurrentReg is the regression's value at the current bar's close price, and LastReg is the value of the previous bar's close price)

I made an expert advisor that prints a readout of slopes. The relevant statement looks like thiscode looks like this:

Inserted Code

Print("Slope: ",MathAbs(1000000*( iCustom(Symbol(),0,"i-Regr",1,1,34,0,0,0)-iCustom(Symbol(),0,"i-Regr",1,1,34,0,0,1))/Period()));

When run through the strategy tester on a specific time segment the following results are produced (MT4 console copy/paste):

Inserted Code

2011.05.31 23:59  showslope EURUSD,M5: Slope: 30.2633
2011.05.31 23:55  showslope EURUSD,M5: Slope: 30.7395
2011.05.31 23:50  showslope EURUSD,M5: Slope: 30.2577
2011.05.31 23:45  showslope EURUSD,M5: Slope: 29.7591

I need to modify the indicator to let me to "bar shift" to any bar. For example, a "bar shift" of 1 should have 30.7395 as the last output instead of 30.2633.

Attempting to shift by incrementing the index shift property in the iCustom command does not do what I intend.

I tried to modify the i-Regr indicator to implement the type of "bar shift" that I require.
Here are the changes I made:

Inserted Code

1. Commented out SetIndexShift statements
  
  2....
  SetIndexDrawBegin(0, Bars-p-1[b][color="Red"]-shift[/color][/b][color="Red"][/color]);
  SetIndexDrawBegin(1, Bars-p-1[b][color="Red"]-shift[/color][/b][color="Red"][/color]);
  SetIndexDrawBegin(2, Bars-p-1[b][color="Red"]-shift[/color][/b][color="Red"][/color]); 
  3. Every instance of [b][color="Black"]Close[n][/color][/b][color="Black"][/color]) changed to: [b]Close[n[color="Red"]+shift[/color][/b][color="Red"][/color]])

I tried calling the modified indicator like this:

Inserted Code

Print("Slope: ",MathAbs(1000000*( iCustom(Symbol(),0,"i-Regr",1,1,34,[b][color="Red"]shift[/color][/b][color="Red"][/color],0,0)-iCustom(Symbol(),0,"i-Regr",1,1,34,[b][color="Red"]shift[/color][/b][color="Red"][/color],0,1))/Period()));

(with shift = 1)

But I got inaccurate output when I tested it on the same timeframe.

Inserted Code

2011.05.31 23:59  showslope EURUSD,M5: Slope: 30.5434
2011.05.31 23:55  showslope EURUSD,M5: Slope: 30.5434
2011.05.31 23:50  showslope EURUSD,M5: Slope: 30.0448
2011.05.31 23:45  showslope EURUSD,M5: Slope: 29.8319

I cannot understand why this happens, but I am guessing that it is because I missed something in the i-Regr code. What I want is for the final output to read as it did a bar back: 30.7395 . Instead it repeats an incorrect number twice.

If someone would please look at my modification and help me out with this, I would really appreciate it.

Attached is the original i-Regr indicator and my broken mod.

Attached File(s)

i-Regr-ShiftBroken.mq4 5 KB | 432 downloads

i-Regr.mq4 5 KB | 452 downloads

#2
Jul 28, 2011 3:53am Jul 28, 2011 3:53am

Pat1
Joined Nov 2008 | Status: Trader | 170 Posts

slope_current = MathAbs(1000000*(CurrentReg - LastReg)/Period());

CurrentReg = Custom(Symbol(),0,"i-Regr",1,1,34,0,0,0);
LastReg=Custom(Symbol(),0,"i-Regr",1,1,34,0,0,1);

add following

double LastReg2=Custom(Symbol(),0,"i-Regr",1,1,34,0,0,2);

The slope you want is

slope_previous = MathAbs(1000000*(LastReg - LastReg2)/Period());

Hope this helps

Cheers

Pat

#3
Jul 28, 2011 7:17am Jul 28, 2011 7:17am

mfurlend
| Joined Apr 2010 | Status: Trader | 165 Posts

Pat1, unfortunately this does not work.

Inserted Code

output:
2011.05.31 23:59  showslope EURUSD,M5: Slope: 30.2633
2011.05.31 23:55  showslope EURUSD,M5: Slope: 30.7395
2011.05.31 23:50  showslope EURUSD,M5: Slope: 30.2577
2011.05.31 23:45  showslope EURUSD,M5: Slope: 29.7591

That is because the indicator buffer repaints each bar and draws a straight line.

#4
Edited 10:38am Jul 28, 2011 10:16am | Edited 10:38am

futurespec
Joined May 2011 | Status: If you think I'm mad, I must be mad | 1,058 Posts

Try changing ...

Print("Slope: ",MathAbs(1000000*( iCustom(Symbol(),0,"i-Regr",1,1,34,0,0,shift)
-iCustom(Symbol(),0,"i-Regr",1,1,34,shift,0,1))/Period()));

to...
Print("Slope: ",MathAbs(1000000*( iCustom(Symbol(),0,"i-Regr",1,1,34,0,0,shift+1)
-iCustom(Symbol(),0,"i-Regr",1,1,34,shift,0,1))/Period()));

HTH

*** IGNORE ABOVE *****
*EDIT (changed the wrong lines!) *********
From...

Print("Slope: ",MathAbs(1000000*( iCustom(Symbol(),0,"i-Regr",1,1,34,shift,0,0)
-iCustom(Symbol(),0,"i-Regr",1,1,34,shift,0,1))/Period()))

to..
Print("Slope: ",MathAbs(1000000*( iCustom(Symbol(),0,"i-Regr",1,1,34,0,0,shift)
-iCustom(Symbol(),0,"i-Regr",1,1,34,0,0,shift+1))/Period()))

If you think I'm mad, I must be mad

#5
Jul 28, 2011 3:03pm Jul 28, 2011 3:03pm

mfurlend
| Joined Apr 2010 | Status: Trader | 165 Posts

That is the same thing that Pat1 said. It doesn't work the way I want.

Inserted Code

2011.05.31 23:59  showslope EURUSD,M5: Slope: 30.2633
2011.05.31 23:55  showslope EURUSD,M5: Slope: 30.7395
2011.05.31 23:50  showslope EURUSD,M5: Slope: 30.2577
2011.05.31 23:45  showslope EURUSD,M5: Slope: 29.7591

#6
Last Post: Jul 28, 2011 7:22pm Jul 28, 2011 7:22pm

mfurlend
| Joined Apr 2010 | Status: Trader | 165 Posts

I believe that I've got the solution. I knew that the only way to do this is to modify the i-Regr indicator. My mistake was that I was placing the underlined statement inside the loop; this caused the slope buffer to be re-written at each bar.

Inserted Code

 (inside the indicator)
 for(n=i0;n<=i0+p;n++)
  {
    sum=0;
    for(kk=1;kk<=degree;kk++)
    {
       sum+=x[kk+1]*MathPow(n,kk);
    }
    fx[n]=x[1]+sum;
    
  } 
  [b][u]slope[0] = MathAbs(1000000*(fx[0]-fx[1])/Period());[/u][/b]

Inserted Code

double CurSlope =  iCustom(Symbol(),0,"i-RegrS",1,1,34,0,3,shift);
Print("Slope: ",CurSlope);

output:

Inserted Code

2011.05.31 23:59  showslope EURUSD,M5: Slope: 30.2577
2011.05.31 23:55  showslope EURUSD,M5: Slope: 30.2577
2011.05.31 23:50  showslope EURUSD,M5: Slope: 29.7591
2011.05.31 23:45  showslope EURUSD,M5: Slope: 29.8319

This is the output I wanted except for 1 thing: why does the last value repeat like that?

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