Comments on: Linear Regression Angle Measurement http://tuckerreport.com Technical Analysis and Daily Market Timing of Stock Indexes, Precious Metals, and more Mon, 12 May 2008 21:40:58 +0000 http://wordpress.org/?v=2.2.1 By: Mike Winfrey http://tuckerreport.com/indicators/angle-measure/#comment-28 Mike Winfrey Fri, 31 Aug 2007 22:22:05 +0000 http://tuckerreport.com/indicators/angle-measure/#comment-28 Just having a bit of fun with this. I made it adaptive. However, I didn't like what I saw for the way I trade. The adaptive period was too big. So, I cut the adaptive period in half. That seemed to do a better. The half adaptive is the fast ma and then I have a mulitplier to calculate the slower ma. So if the adaptive period is calculated as 34, I cut that in half to use 17 for the faster ma. Then I use 17 as the base to calculate the slower ma. The mulitplier can be 1 through whatever. Like I said...having fun. Some of the ma combinations create some patterns that really look tradeable. Very CCI-ish and timely entries too. Just having a bit of fun with this. I made it adaptive. However, I didn’t like what I saw for the way I trade. The adaptive period was too big. So, I cut the adaptive period in half. That seemed to do a better. The half adaptive is the fast ma and then I have a mulitplier to calculate the slower ma. So if the adaptive period is calculated as 34, I cut that in half to use 17 for the faster ma. Then I use 17 as the base to calculate the slower ma. The mulitplier can be 1 through whatever. Like I said…having fun. Some of the ma combinations create some patterns that really look tradeable. Very CCI-ish and timely entries too.

]]> By: Doug Tucker http://tuckerreport.com/indicators/angle-measure/#comment-27 Doug Tucker Fri, 31 Aug 2007 14:13:15 +0000 http://tuckerreport.com/indicators/angle-measure/#comment-27 Mike, I forgot the other part of your question. Yes I do have to adjust for different markets and time frames. So far I'm only using it on tick charts, but if I use it on daily charts the angles have the correct direction, but the scaling is off. But I'm not so interested if I get the exact angle as that will be influenced by how the chart is scaled. If you do an actual angle measurement of the regression curve it will change depending on how many indicators you have, size of monitor, bar spacing, etc. So I'm more concerned about the general direction and relative steepness of the measurement. Mike, I forgot the other part of your question. Yes I do have to adjust for different markets and time frames. So far I’m only using it on tick charts, but if I use it on daily charts the angles have the correct direction, but the scaling is off. But I’m not so interested if I get the exact angle as that will be influenced by how the chart is scaled. If you do an actual angle measurement of the regression curve it will change depending on how many indicators you have, size of monitor, bar spacing, etc. So I’m more concerned about the general direction and relative steepness of the measurement.

]]> By: Doug Tucker http://tuckerreport.com/indicators/angle-measure/#comment-26 Doug Tucker Fri, 31 Aug 2007 14:04:13 +0000 http://tuckerreport.com/indicators/angle-measure/#comment-26 Mike, I also use an exponential moving average to smooth it. It adds a little lag, but I like the smoothness. Tradestation uses a simple moving average, but calculation times are much longer, so I changed it to exponential. There isn't much difference. On a 34 regression period I'd try moving average values of 10 or 14, or if using exponential the appropriate exponent value of course. I like the 80 period regression with the 14 moving average. Some of my example are even longer like 100 and 20. You just have to experiment. The very short values are also helpful, such as the default values in tradestation of 21 for the LR and 3 for the MA. That's what the original reference by Jon Anderson used, and it works quite well. Keep me posted on your progress. Thanks, Doug Mike, I also use an exponential moving average to smooth it. It adds a little lag, but I like the smoothness. Tradestation uses a simple moving average, but calculation times are much longer, so I changed it to exponential. There isn’t much difference. On a 34 regression period I’d try moving average values of 10 or 14, or if using exponential the appropriate exponent value of course. I like the 80 period regression with the 14 moving average. Some of my example are even longer like 100 and 20. You just have to experiment. The very short values are also helpful, such as the default values in tradestation of 21 for the LR and 3 for the MA. That’s what the original reference by Jon Anderson used, and it works quite well.
Keep me posted on your progress.
Thanks, Doug

]]> By: Mike Winfrey http://tuckerreport.com/indicators/angle-measure/#comment-25 Mike Winfrey Fri, 31 Aug 2007 12:49:51 +0000 http://tuckerreport.com/indicators/angle-measure/#comment-25 Hello Doug, Another interesting concept that makes a lot of sense. So, I tried it myself. Only have the angle lines represented so far and see what you are talking about. I'm using a 34 linreg as the base and experimenting with the faster ones to see what they show. I see that my zero line crosses and the direction changes on the 34 coincide with each other so it seems that I have that part right. The only thing I'm curious about at this point is why my angle lines aren't as smooth as your's. the 34 seems to be ok but no matter what I use for the faster one, the line is very angular. Any recommendations? Also do you include a multiplier in your formula to account for the differences in number of ticks/price point between the different markets? I have that included in mine and it seems to actually make the angle lines even more angular and of course the amplitude increases as I use a larger number. Thanks, Mike Hello Doug,
Another interesting concept that makes a lot of sense. So, I tried it myself. Only have the angle lines represented so far and see what you are talking about. I’m using a 34 linreg as the base and experimenting with the faster ones to see what they show. I see that my zero line crosses and the direction changes on the 34 coincide with each other so it seems that I have that part right. The only thing I’m curious about at this point is why my angle lines aren’t as smooth as your’s. the 34 seems to be ok but no matter what I use for the faster one, the line is very angular. Any recommendations? Also do you include a multiplier in your formula to account for the differences in number of ticks/price point between the different markets? I have that included in mine and it seems to actually make the angle lines even more angular and of course the amplitude increases as I use a larger number.

Thanks,
Mike

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