In statistics, the coefficient of determination, denoted R2 or r2 and pronounced “R squared”, is the proportion of the variance in the dependent variable that is predictable from the independent variable(s) (wikipedia).
The R-squared indicator gives a correlation coefficient between 0 to 1 (0 = no correlation , 1 = highly correlated) by comparing the injected data to a straight linear regression line.
This indicator gives the same values as the R2 instruction. Some asked me the code to study the embedded instruction of the platform, here it is.
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//PRC_R-Squared coefficient | indicator //19.09.2018 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings period = 20 // --- end of settings Data = customclose SumX = 0 SumXX = 0 SumXY = 0 SumYY = 0 SumY = 0 if barindex>Period then for k=0 to period-1 do tprice = Data[k] SumX = SumX+(k+1) SumXX = SumXX+((k+1)*(k+1)) SumXY = SumXY+((k+1)*tprice) SumYY = SumYY+(tprice*tprice) SumY = SumY+tprice next Q1 = SumXY - SumX*SumY/period Q2 = SumXX - SumX*SumX/period Q3 = SumYY - SumY*SumY/period iRsq=((Q1*Q1)/(Q2*Q3)) endif return iRsq as "R²" |
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