Droite régression avec les derniers plus haut

• 05/06/2020 at 2:41 PM #130245
  epeter

  Bonjour je souhaiterai visualiser sur le graphique des cours la droite de régression linéaire basée sur les critères suivants :

  -droite de régression calculée sur au moins 4 derniers plus hauts (voire plus si besoin)

  -période de max 40 bougies journalières

  -coefficient de régression linéaire >0.95

   

  ce serait top de l’afficher ainsi que son équation

   

  pouvez vous m’aider pour cela

  je vous remercie

  

  epeter

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  05/06/2020 at 4:18 PM #130274
  Nicolas

  epeter wrote:

  -droite de régression calculée sur au moins 4 derniers plus hauts

  Merci de définir comment trouver ces 4 derniers plus hauts.

  

  Nicolas

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  05/06/2020 at 4:27 PM #130276
  epeter

  Pour un plus haut il faudra les conditions suivantes :

  -écart d’au moins 5 bougies avec le plus haut précédent

  -le plus haut de la bougie du jour (ombre supérieures) est plus haut que le plus haut (ombre supérieure) du jour de la bougie précédente et que le plus haut du jour(ombre supérieure) de la bougie suivante

   

  merci

  

  epeter

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  05/07/2020 at 9:00 AM #130387
  Nicolas

  Le code ci-dessous trace la régression linéaire des X derniers plus hauts telle que décrit.

  defparam drawonlastbaronly=true defparam calculateonlastbars=1000 topc = high<high[1] and high[1]>high[2] and topbar<barindex-5 //botc = low>low[1] and low[1]<low[2] and botbar<barindex-5 if topc then topbar=barindex[1] top=high[1] //elsif botc then //botbar=barindex[1] //bot=low[1] endif //PRC_Std and Ste LinRegChannel | indicator //Standard Deviation and Standard Error //Linear Regression Channel //12.03.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings lookback= 40 //channel period ChannelType = 1 //1= Standard Deviation ; 2= Standard Error MinTop = 5 colorRed = 255 colorGreen = 255 colorBlue = 0 // --- end of settings sumx = 0 sumy = 0 sumxy = 0 sumx2 = 0 count=0 prev=0 for cmpt = 0 to lookback do tmpx = cmpt tmpy = top[cmpt] sumy = sumy+tmpy sumx = sumx+tmpx sumx2 = sumx2 + (tmpx*tmpx) sumxy = sumxy + (tmpy*tmpx) if tmpy<>prev then drawtext("*",topbar[cmpt],top[cmpt],dialog,bold,16) count=count+1 prev=tmpy endif if count>=MinTop then lookback=cmpt break endif next n = lookback+1 if (sumx2 = sumx * sumx) then // protection to avoid infinite values b = sumxy - sumx * sumy else b = (n * sumxy - sumx * sumy) / (n * sumx2 - sumx * sumx) endif a = (sumy - b * sumx) / n if count>=MinTop then drawsegment(barindex[lookback],a+b*lookback,barindex,a+b*0) coloured(colorRed,colorGreen,colorBlue) endif return //a

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  defparam drawonlastbaronly=true defparam calculateonlastbars=1000   topc = high<high[1] and high[1]>high[2] and topbar<barindex-5 //botc = low>low[1] and low[1]<low[2] and botbar<barindex-5 if topc then topbar=barindex[1] top=high[1] //elsif botc then //botbar=barindex[1] //bot=low[1] endif   //PRC_Std and Ste LinRegChannel | indicator //Standard Deviation and Standard Error //Linear Regression Channel //12.03.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge   // --- settings lookback= 40 //channel period ChannelType = 1 //1= Standard Deviation ; 2= Standard Error MinTop = 5 colorRed = 255 colorGreen = 255 colorBlue = 0 // --- end of settings   sumx = 0 sumy = 0 sumxy = 0 sumx2 = 0   count=0 prev=0 for cmpt = 0 to lookback do tmpx = cmpt tmpy = top[cmpt] sumy = sumy+tmpy sumx = sumx+tmpx sumx2 = sumx2 + (tmpx*tmpx) sumxy = sumxy + (tmpy*tmpx) if tmpy<>prev then drawtext("*",topbar[cmpt],top[cmpt],dialog,bold,16) count=count+1 prev=tmpy endif if count>=MinTop then lookback=cmpt break endif next   n = lookback+1   if (sumx2 = sumx * sumx) then // protection to avoid infinite values b = sumxy - sumx * sumy else b = (n * sumxy - sumx * sumy) / (n * sumx2 - sumx * sumx) endif a = (sumy - b * sumx) / n   if count>=MinTop then drawsegment(barindex[lookback],a+b*lookback,barindex,a+b*0) coloured(colorRed,colorGreen,colorBlue) endif   return //a

   

  

  Nicolas

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  05/07/2020 at 9:48 AM #130398
  epeter

  Merci beaucoup Nicolas je vais voir si je peux exploiter cela dans une stratégie et je reviens vers le forum

  

  epeter

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  05/07/2020 at 12:57 PM #130434
  Nicolas

  Autre version corrigée ci-dessous

  defparam drawonlastbaronly=true defparam calculateonlastbars=1000 topc = high<high[1] and high[1]>high[2] and topbar<barindex-5 //botc = low>low[1] and low[1]<low[2] and botbar<barindex-5 if topc then topbar=barindex[1] top=high[1] //elsif botc then //botbar=barindex[1] //bot=low[1] endif //PRC_Std and Ste LinRegChannel | indicator //Standard Deviation and Standard Error //Linear Regression Channel //12.03.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings lookback= 40 //channel period MinTop = 5 colorRed = 255 colorGreen = 255 colorBlue = 0 // --- end of settings sumx = 0 sumy = 0 sumxy = 0 sumx2 = 0 count=1 prev=top for cmpt = 0 to lookback do if cmpt=0 then drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) endif tmpx = cmpt tmpy = top[cmpt] sumy = sumy+tmpy sumx = sumx+tmpx sumx2 = sumx2 + (tmpx*tmpx) sumxy = sumxy + (tmpy*tmpx) if tmpy<>prev then count=count+1 drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) prev=tmpy if count=MinTop then lb=cmpt break endif endif next n = lb+1 if (sumx2 = sumx * sumx) then // protection to avoid infinite values b = sumxy - sumx * sumy else b = (n * sumxy - sumx * sumy) / (n * sumx2 - sumx * sumx) endif a = (sumy - b * sumx) / n if count>=MinTop then drawsegment(barindex[lookback],a+b*lookback,barindex,a+b*0) coloured(colorRed,colorGreen,colorBlue) endif return top,lookback//a

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  defparam drawonlastbaronly=true defparam calculateonlastbars=1000   topc = high<high[1] and high[1]>high[2] and topbar<barindex-5 //botc = low>low[1] and low[1]<low[2] and botbar<barindex-5 if topc then topbar=barindex[1] top=high[1] //elsif botc then //botbar=barindex[1] //bot=low[1] endif   //PRC_Std and Ste LinRegChannel | indicator //Standard Deviation and Standard Error //Linear Regression Channel //12.03.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge   // --- settings lookback= 40 //channel period MinTop = 5 colorRed = 255 colorGreen = 255 colorBlue = 0 // --- end of settings   sumx = 0 sumy = 0 sumxy = 0 sumx2 = 0   count=1 prev=top for cmpt = 0 to lookback do if cmpt=0 then drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) endif tmpx = cmpt tmpy = top[cmpt] sumy = sumy+tmpy sumx = sumx+tmpx sumx2 = sumx2 + (tmpx*tmpx) sumxy = sumxy + (tmpy*tmpx) if tmpy<>prev then count=count+1 drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) prev=tmpy if count=MinTop then lb=cmpt break endif endif next   n = lb+1   if (sumx2 = sumx * sumx) then // protection to avoid infinite values b = sumxy - sumx * sumy else b = (n * sumxy - sumx * sumy) / (n * sumx2 - sumx * sumx) endif a = (sumy - b * sumx) / n   if count>=MinTop then drawsegment(barindex[lookback],a+b*lookback,barindex,a+b*0) coloured(colorRed,colorGreen,colorBlue) endif   return top,lookback//a

   

  

  Nicolas

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  05/07/2020 at 3:45 PM #130468
  epeter

  Merci bcp j’ai juste quelques petites questions si ce n’est pas trop prendre sur ton temps.

  Si j’ai bien compris le compteur de 40 peux être changé , je l’ai mis à 80 mais il ne marque pas les plus hauts (voir ex sur PEUGEOT en PJ°

  D’autre part est-il possible de connaitre le coefficient de régression linéaire

  Enfin sur mes graphes il remplit en noir le dessus du graphe je ne comprends pas pourquoi

  merci Nicolas

  

  epeter

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  05/07/2020 at 4:17 PM #130480
  Nicolas

  J’ai à nouveau corrigé le code pour être plus en adéquation avec ta demande initiale, ci-joint.

  defparam drawonlastbaronly=true defparam calculateonlastbars=1000 topc = high<high[1] and high[1]>high[2] and topbar<barindex-5 //botc = low>low[1] and low[1]<low[2] and botbar<barindex-5 if topc then topbar=barindex[1] top=high[1] //elsif botc then //botbar=barindex[1] //bot=low[1] endif //PRC_Std and Ste LinRegChannel | indicator //Standard Deviation and Standard Error //Linear Regression Channel //12.03.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings lookback= 40 //channel period MinTop = 5 colorRed = 255 colorGreen = 255 colorBlue = 0 // --- end of settings sumx = 0 sumy = 0 sumxy = 0 sumx2 = 0 count=1 prev=top for cmpt = 0 to lookback do if cmpt=0 then drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) endif tmpx = cmpt if topbar[cmpt]>barindex-lookback then tmpy = top[cmpt] endif sumy = sumy+tmpy sumx = sumx+tmpx sumx2 = sumx2 + (tmpx*tmpx) sumxy = sumxy + (tmpy*tmpx) if tmpy<>prev then count=count+1 drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) prev=tmpy endif next n = lookback+1 if (sumx2 = sumx * sumx) then // protection to avoid infinite values b = sumxy - sumx * sumy else b = (n * sumxy - sumx * sumy) / (n * sumx2 - sumx * sumx) endif a = (sumy - b * sumx) / n if count>=MinTop then drawsegment(barindex[lookback],a+b*lookback,barindex,a+b) coloured(colorRed,colorGreen,colorBlue) endif return

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  defparam drawonlastbaronly=true defparam calculateonlastbars=1000   topc = high<high[1] and high[1]>high[2] and topbar<barindex-5 //botc = low>low[1] and low[1]<low[2] and botbar<barindex-5 if topc then topbar=barindex[1] top=high[1] //elsif botc then //botbar=barindex[1] //bot=low[1] endif   //PRC_Std and Ste LinRegChannel | indicator //Standard Deviation and Standard Error //Linear Regression Channel //12.03.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge   // --- settings lookback= 40 //channel period MinTop = 5 colorRed = 255 colorGreen = 255 colorBlue = 0 // --- end of settings   sumx = 0 sumy = 0 sumxy = 0 sumx2 = 0   count=1 prev=top for cmpt = 0 to lookback do if cmpt=0 then drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) endif tmpx = cmpt if topbar[cmpt]>barindex-lookback then tmpy = top[cmpt] endif   sumy = sumy+tmpy sumx = sumx+tmpx sumx2 = sumx2 + (tmpx*tmpx) sumxy = sumxy + (tmpy*tmpx)   if tmpy<>prev then count=count+1 drawtext("#count#",topbar[cmpt],top[cmpt],dialog,bold,16) prev=tmpy endif   next   n = lookback+1   if (sumx2 = sumx * sumx) then // protection to avoid infinite values b = sumxy - sumx * sumy else b = (n * sumxy - sumx * sumy) / (n * sumx2 - sumx * sumx) endif a = (sumy - b * sumx) / n   if count>=MinTop then drawsegment(barindex[lookback],a+b*lookback,barindex,a+b) coloured(colorRed,colorGreen,colorBlue) endif   return

   

   

  

  Nicolas

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  05/07/2020 at 4:58 PM #130487
  epeter

  Merci Nicolas c’est TIP TOP maintenant. je vais essayer de coupler cela pour tracer des droites de tendance significatives. En gros je prends les 4 derniers plus haut (ou plus bas), je fais toutes les combinaisons de calculs de régression et je garde la meilleure avec un critère d’un R>0.99 alors on a une droite significative puis je remonte dans le temps pour chaque nouveau point haut : 2 possibilités il s’intègre à la régression=> on le rajoute, sinon on cherche celui d’avant et on refait les combinaisons

   

  Merci en tout cas de ton aide tu as été au Top comme d’habitude

  

  epeter

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  05/10/2020 at 2:38 PM #130912
  Nicolas

  Super, j’attends ton retour pour nous faire voir ce que ça peut donner 🙂 Merci.

  

  Nicolas

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