Thanks Nicolas, will wait to see the code adjusted.
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BACKGROUND TO INDICATOR
The Anderson Regression Line Stretch (ARLS) is an oscillator indicator conceptualised by me inspired by this paper that I found online (http://www.vantharp.com/Tharps-Thoughts/608_Dec_19_2012.html).
The indicator measures the distance that price has moved away from its 30 period linear regression line expressed as a percentage of the current market price. If markets are orderly, price should not “stretch” too far away from the 30 period regression line. Therefore, statistically aberrant “stretches” beyond 2 standard deviations should be analysed by the trader.
In order to make the indicator more useful, we apply +/- 2 & +/- 3 standard deviation lines on the ARLS oscillator. We deliberately do not plot a +/-1 standard deviation as this captures 68% of oscillation and it is the extreme moves (i.e. 2 & 3 standard deviations) that we want to identify for trading set ups.
When the ARLS moves beyond the 2 standard deviation level, this should be noted and the trader should look at price action to see where price is in the context of the overall market trend. Markets that have experienced a prolonged up/downtrend and have moved beyond 2 standard deviations should be on watch for a statistical reversion. The price reversion should, at a minimum, go back to the 30 period regression line, which is interpreted as the current direction of travel for price. Another scenario is for price to remain steady and the regression line to catch up with price.
The indicator is best combined with other statistical price observations such as ATR multiples and Bollinger bands to add context to the ARLS.
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Thank you for your work thus far. I did plot a Bollinger band on the ARLS as a test and noticed the results were the same. This is a shame (c’est dommage!) as the ARLS is visually more appealing when the 2&3 standard deviation lines are horizontal and do not “bulge” (“gonfler”). Is there any way this be corrected? RSI lines are fixed at 70 and 30 and really we should be able to able to fix the standard deviation lines in the same way or at least let adjust as time and price progresses, but still remain horizontal. If I use the standard deviation drawing tool on the ARLS, the lines remain horizontal and fixed based on the data on the screen. Perhaps there is a way to take the code from the drawing tool and insert this?
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