sss_ai with r-squared confirmation
This is a mod of spinal implant that I was recluctant to post. Not because it is a money machine but because I did not find any impro vement.
However the logic may be interesting and may be used into another EA model. So that is why I will post it.
double rsquared=iCustom(NULL,TimeFrame,"r-squared",RSQPeriod,0,1);double iVAR_1=iCustom(NULL,TimeFrame,"iVAR",5,1000,0,1);double iVAR_2=iCustom(NULL,TimeFrame,"iVAR",5,1000,0,2);if(iVAR_2<a3 && iVAR_1<a4 && rsquared>rsquared_CriticalValue)
The logic is that not only here we want that in two consecutive bars we have an iVAR reading below a certain value a3 and a4 (those are the values the standard is 0.5) but we want that in the same time that we have a r-squared reading above r-squared level. I call this parameter rsquared_CriticalValue.
The r-squared shows the correlation with its linear regression line
So for r-squared we have two parameters:
rsquared_CriticalValue:
RSQPeriod:
There is a table that allow you to have in mind the relation:
To determine if the trend is statistically significant for a given x-period linear regression line,
plot the r-squared indicator and refer to the following table. This table shows the values of
r-squared required for a 95% confidence level at various time periods. If the r-squared value
is less than the critical values shown, you should assume that prices show no statistically
significant trend.
plot the r-squared indicator and refer to the following table. This table shows the values of
r-squared required for a 95% confidence level at various time periods. If the r-squared value
is less than the critical values shown, you should assume that prices show no statistically
significant trend.
Number ofPeriods r-squaredCritical Value(95%confidence)
5 0.77
10 0.40
14 0.27
20 0.20
25 0.16
30 0.13
50 0.08
60 0.06
120 0.03
Installation note:
You need to install the r-squared indicator that is included in the rar file. You need also the iVAR and pfe indicator (those two are not inlued here refer to the original spinal implant).
Comments
You idea, john is really interesting and intriguing?
I notice you took those values :
extern int RSQPeriod=10;
extern double rsquared_CriticalValue=0.40;
So, the calculation is made upon 10 bars.
may be the RSQPeriod could be given by the Cycle Period ? something like Cycle Period divided by 4 ? what do you think about ?
I am not sure about it. In fact I do not know.