Charting and Studies User Guide - CQG.com

Linear Regression (LinR)
What it does:
Page 179
The Linear Regression tool plots the regression line and a standard error channel, based on the
points you click. The distance away from the LR line for the limit lines is either the maximum
deviation above and below the LR line, when the Limit Lines parameter is set to Max Deviation,
or the standard errors multiplied by the value specified in the Factor parameter when Limit
Lines are set to Factor x StdErr. For example, selecting a factor of .5 would plot each line .5
standard errors away from the LR line. The Standard Error is defined as: (The sum of the
squares of the deviation from the line)/The number of bars – 1).
Standard mathematics are used for the Linear Regression. The maximum deviation is the price
that is furthest from the linear regression line. For example: If the selected price is close and
the two selected points are 20 bars apart, the linear regression line is calculated using the 20
closes between the selected points, and then the maximum deviation is found by looking at
each close and finding the one that is furthest from the linear regression line. One limit line is
placed parallel to the linear regression line, intersecting the close that is furthest from the linear
regression line. The other limit line is placed parallel an equal distance to the other side of the
linear regression line.
The formula is:
(14 * Sum( Accum(@,none)* Close(@),14) - Sum(Accum(@,none),14) * Sum(Close(@),14)) /
(14 * Sum(Power(Accum(@,none),2.00000),14) - Power(Sum(Accum(@,none),14),2.00000))
*
Accum(@,none) + (MA(@,Sim,14) - MA(Accum(@,none),Sim,14)
*
(14 * Sum( Accum(@,none)* Close(@),14) - Sum(Accum(@,none),14) * Sum(Close(@),14)) /
(14 * Sum(Power(Accum(@,none),2.00000),14) - Power(Sum(Accum(@,none),14),2.00000)))
Note: If your first point is in the past and your second point is in the future (beyond the
current bar), the Linear Regression tool will continue recalculating and redrawing the regression
lines, including the new bar data, as it comes in. Additionally, if your first point is in the future
and your second point is in the past, LinR will continue including the new data as it comes in,
until the time of the first point is reached, when no new data will be included.
Depending on where your mouse is in relation to the bar and the linear regression line, different
values will be displayed in the mouse text box.
Pointer is on the linear regression line, but not near a bar, mouse text displays:
P = Price represented by pointer position
LR:DN = Value of the bottom linear regression envelope line.
LR:LR = Value of the linear regression line.
LR:UP = Value of the top regression envelope line.
S = Slope of the line in price per day.
R2 = The square of the error.
Charting and Studies User Guide