yoake wrote: Sat Sep 10, 2022 2:33 pm I made Regularized Linear Regression MA.
with reference to
Pattern Recognition and Trading Decision Chris Satchwell p193-194

But it does not seem to be working correctly.
Changing setting Lambda makes little difference, same as usual Linear regression.

Where should I fix it?
If anyone knows of a solution, could you please let me know?

Thanks in advance.
Yoake

yoake wrote: Sat Sep 10, 2022 2:33 pm I made Regularized Linear Regression MA.
with reference to
Pattern Recognition and Trading Decision Chris Satchwell p193-194

But it does not seem to be working correctly.
Changing setting Lambda makes little difference, same as usual Linear regression.

Where should I fix it?
If anyone knows of a solution, could you please let me know?

Thanks in advance.
Yoake

Code: Select all

#property copyright ""
#property link      ""

#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1  clrAqua
#property indicator_color2  clrDeepSkyBlue
#property indicator_width1  2





extern int    Length       = 26;
extern int    Price        = 0;
extern double Lambda       = 1.0;

//
//
//
//
//

double RegLR[];
double line[];


string  indicatorFileName;
bool    returnBars;


//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
//
//
//
//
//

int init()
{
   SetIndexBuffer(0,RegLR);
   SetIndexBuffer(1,line);
         Length = MathMax(Length,1);
   IndicatorShortName("Regularized LRMA ("+Length+")");
   
         indicatorFileName = WindowExpertName();
   
   
   return(0);
}
int deinit() { return(0); }


//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
//
//
//
//
//

int start()
{
   int counted_bars=IndicatorCounted();
   int i,limit;

   if(counted_bars<0) return(-1);
   if(counted_bars>0) counted_bars--;
         limit = Bars-counted_bars;
         

         

   //
   //
   //
   //
   //

   for(i=limit; i>=0; i--){
       
       double lambda = Lambda;
       double Ra,Rb,Aaa,Abb,Acc;
       double suma=0,sumb=0,sumc=0,sumd=0;
       int    ww =Length;
       
       //double prc = iMA(NULL,0,1,0,MODE_SMA,Price,i);
       
       for(int z=1; z<=Length; z++){
           
           suma +=(z)*(z);
           sumb +=(z);
           sumc +=(z)*Close[i+Length-z];
           sumd +=Close[i+Length-z];
       }
       
       Ra = 2.0*lambda*Length*RegLR[i+1] - lambda*Length*RegLR[i+2]+sumc;
       Rb = 2.0*lambda*RegLR[i+1] - lambda*RegLR[i+2]+sumd;
       
       Aaa = lambda*Length*Length+suma;
       Abb = lambda*Length+sumb;
       Acc = ww+lambda;
       
       
       double slope,inter;
       
       if((Aaa*Acc)-(Abb*Abb) !=0){
          slope =((Ra*Acc)-(Rb*Abb)) / ((Aaa*Acc)-(Abb*Abb));
       
          inter =((Aaa*Rb)-(Abb*Ra)) / ((Aaa*Acc)-(Abb*Abb));
       }
       
       
       RegLR[i] = slope*Length+inter;
    
   }
   
   for(i=0; i<=Length; i++){
      
      line[Length-i] = slope*i+inter;
   
   }
   
   
   return(0);
}

mrtools wrote: Mon Sep 12, 2022 2:10 am Not sure, tried a version using Regularized ema as an example and it doesn't seem right either.

alpha24 wrote: Mon Sep 12, 2022 4:07 am Dear Mrtools Sir,
Got this code idea from the internet if it is possible please make this indicator
-------------------------------------------------------------------------------------------------------------------
1. Calculate the moving average (EMA)

The formula for the 12-day EMA is
EMA (12) = EMA (12) of the previous day × 11/13 + today’s closing price × 2/13
The formula for the 26-day EMA is
EMA (26) = the previous day’s EMA (26) × 25/27 + today’s closing price × 2/27
2. Calculate the deviation value (DIF)
DIF = Today’s EMA (12)-Today’s EMA (26)
3. Calculate the 9-day EMA of DIF
Calculate the 9-day EMA based on the deviation value, that is, the average value of the deviation, which is the required MACD value. In order not to be confused with the original name of the indicator, this value is also known as
DEA or DEM.
Today’s DEA (MACD)=Previous day’s DEA×8/10+today’s DIF×2/10.
The calculated values ​​of DIF and DEA are both positive or negative.
Using (DIF-DEA)×2 is the MACD histogram.

mrtools wrote: Mon Sep 12, 2022 7:01 am Not sure by any chance do you have more information on it?

wojtek wrote: Tue Sep 13, 2022 3:03 am Is it possible to place a histogram (which is usually in the separate window)
at the bottom of the main chart? In particular, I think about something
like the Heiken Ashi histo.