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Approximating A Least Square Moving Average In PineLeast Squares Moving Average, Running Least Squares, Regression Line or even Running Line, this method is among the most popular ones in statistics and technical analysis. The LSMA is extremely useful, it approximate the price pretty well and can be considered as one of the best low-lagging filters out there. Knowing how this filter is made can be really interesting. May the methods i share below inspire you to create great indicators or start coding in pine :) A Least Squares Moving Average is defined by Tradingview as : A line that best fits the prices specified over a user-defined time period. It is calculated using the least squares method. The result of this function is calculated using the formula: linreg = intercept + slope * (length - 1 - offset), where length is the y argument, offset is the z argument, intercept and slope are the values calculated with the least squares method on source series (x argument). Alright, we wont use the offset parameter for our approximations, so how to calculate a least squares moving average ? If you find the mathematical formula of it you will certainly ask yourself "what are all of those maths" . But its ok, in the Pinescript you can just use the linreg() function, or you could calculate it like that : slope = correlation(close,n,length) * (stdev(close,length)/stdev(n,length)) intercept = sma(close,length) - slope*sma(n,length) linreg = slope*n + intercept Ok, but can we use different estimation methods ? Certainly, the key of the LSMA is only the correlation coefficient after all, all the other parameters can be estimated. Standard Score Or Rescaling A Line To The Price Rescaling a line to the price is easy to do, it will give a similar result as the LSMA but it is faster to write, here the code : A = (n - sma(n,length))/stdev(n,length) * correlation(close,n,length) B = sma(close,length) + A*stdev(close,length) Easier no ? We first standardized a line (n) and multiplied it by its correlation with the price, our first parameter A is dimensionless . Then we rescaled the result to the price by multiplying our parameter with the price standard deviation and summing this result to the price moving average. here the difference between our method and the classic LSMA of both period 100 If you put both together you wont see any difference. Overshoots can be reduced by modifying the standard deviation size. Correlation Rescaling The correlation coefficient is the core of a LSMA, if we rescale it we can approximate a LSMA, here the code : a = (correlation(close,n,length) + 1)/2 b = sma(close,length) + stdev(close,length)*1.7 c = sma(close,length) - stdev(close,length)*1.7 k = c + a*(b-c) The correlation coefficient oscillate in a range of 1/-1, we first scale it in a range of 1/0. Then you may have recognized the b and c formulas, they are the one used in bollinger bands, the standard deviation is multiplied by 1.7 because it was the number who best approximated a LSMA, but it could be any number defined by the user, something interesting is that this method to can fix overshoots in a classic LSMA using lower multiplier. Since our correlation is in a range of 1/0 we can rescale it to the price thanks to the method used in k. In red our method, in blue the LSMA of both period 100. Here the standard deviation is not multiplied by a number, this result in less overshoot. In order to have even more manipulation over the LSMA i will try to estimate the correlation coefficient the best i can :) So here you go, i hope you will find a use for it.
Education
by alexgrover
6
NZDJPY - Rebound or just a correction? NZDJPY, H4 & Daily The New Zealand dollar is gaining ground this week against the Yen and the US Dollar. The overriding theme has been Yen weakness, which has been subject to a safe-haven premium unwind following the US invitation to senior Chinese officials for fresh trade negotiations, and also the higher Oil prices. The NZDJPY crossed yesterday into the upper Bollinger Bands pattern after ebbing to a 24-month low on Monday at 72.25. The pair has been following a bearish linear Regression Channel since July 2017, something that is likely to continue in the long term, since no break to the upside of the channel has occurred so far. In the medium term though, the rebound from a 2-month low on Monday, away from the lower line of the channel, gave signs that the price action may be due for a change in direction. This, along with the closing above the 20-day SMA yesterday, confirmed that the outlook in the medium term has been turned from negative to positive. Technically-wise the same bullish picture is seen in momentum indicators as well, as daily RSI just crossed above neutral zone with higher lows being noticed since mid-August. MACD is moving in the negative territory, however it moves above its signal line today. Also, if we review the 4-hour chart, we can notice that momentum indicators are strongly supporting the bullish momentum for the pair, as RSI is ready to enter into the overbought territory with further space to be covered to the upside, while MACD extends its lines above neutral zone and above its signal line. As the price has decisively closed above 73.50 immediate Resistance level yesterday, price action could move further to the upside, towards a Resistance area reached on August 30, at 74.45-74.60. This is considered to be a strong resistance area at which the pair could reach and the retrace, since it combines the 50-day SMA, the weekly R3 but also the extension of the middle line of the channel. Support is set at 73.00-73.30 . If this Resistance area breaks, but more precisely, if the median line gets broken in the direction of the trend, this means that a current impulse wave is likely forming, which could provide for a trend continuation signal. Hence further gains above the middle barrier could then target the area around the FE127.2 and August peak, at 75.75-76.30 area. However, please note that the pair, in the long-term, remains within the bearish regression channel, hence in the case of a clear reversal to the downside, doors for the continuation of the downtrend will open again. Intra-day, immediate Resistance level is set at 74.00 and Support is set at 73.50 based on the hourly chart. Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
by HotForex
BTC in the uptrend channel, dropping to 6700 and still OKAY!A couple observations on the recent price action. The uptrend that we are in is holding form. Last week we penetrated through the purple downtrend channel from 2 previous highs (standard scale, not log scale...interesting side discussion). But after that breakout, BTC has hit a hard wall at 7123, which is the same resistance level that BTC hit on Aug 5 and 7 when it tried to correct from the free fall earlier this month. Not a huge surpise there. Also not a huge surprise that BTC would hit off this level and go down to retest the top of the purple downtrend line. If this happens and it continues down to this line, it appears that it would coincide with my uptrend channel (linear regression tool set to 2 standard deviations) right at my pink ellipse. This retrace back to 6700 would be also represent a .786 retrace from the impulse that began on Sunday, Aug 26. We are currently holding at .5 fib retrace at 6850, so it is possible that this level will hold also, but we would need a pump in bullish volume to prove its support. I am quite surprised that my red resistance rectangle didn't seem to provide any major support. A couple of tests on the top edge of it yesterday, but today it fell straight through. So that support from history is not as relevant as recent support/resistance levels apparently. There is a hefty battle happening currently with increasing volume, and now we have to see who wins. Coincidentally, this level of 6825 also has been resistance in the past on the way up on Aug 21, as can be seen in this 2 hour chart. It's not as clear on other timeframes, but this 2-hr chart clearly shows the candle close at this level and is most recent, so it could have some validity for support. If not, we can expect to drop to 6700 before we find support and begin our climb upward again. I am bullish still and this retrace is healthy. The 1 hr RSI is oversold, but the 2 hr isn't quite there yet, nor is the higher timeframes, so this indicates further downward pressure throughout today. I'm not a big fan of the Moving Averages for the simple reason that you can choose whatever timeframe you want and always find an intersection of support or resistance wherever you look. These results don't indicate causation, just coincidence. They naturally coincide because the Moving Average always follows the price by its nature of calculation. Nonetheless, I keep them on my chart to try to learn from them and keep on open mind. But as I said, I can manipulate them just like anyone else so on the Daily timeframe, there is a nice upper bound with the SMMA 20 and lower bound at the SMMA 50. So I'll keep an eye on the daily timeframe to see if there is more to the story. Lastly, I haven't projected any more Elliott Waves yet, as it isn't clear to me if/where the first bullish impulse wave has ended yet because the subwaves are so volatile and getting a count is difficult. Longer timeframes will be helpful, but I am sure I can safely say that the abc (wxy) retrace has ended and we have begun the next Wave 3 of the Super Cycle. Have a Great Day!
BITFINEX:BTCUSDLong
by bluemt95
The Game of Charts- The best time to go long #BTCUSDLONGSBITFINEX:BTCUSDLONGS "The chart speaks louder than words" Time frame: Daily Sentiment: Bullish (long) Daily bitcoin technical analysis with fewer words and more information so that you can have maximum information just with a glance without wasting any time. Any thoughts on technical analysis of BTC are always welcome in Comment Section. If you find this article useful then do consider a like . Thank you . Legal Disclaimer: This is purely a technical analysis and it is to be used for educational, entertainment purposes only. This is not a financial advise to buy or sell Bitcoin and I am not a financial advisor. Do your own research before investing.
BITFINEX:BTCUSDLONGS
by AbyZee
2nd Trade: Zumtobel and the 52 Week StrategyThe second trade in the £800 to £1 million challenge is a short on Vienna Exchange Stock Zumtobel. In my first post, i highlighted that during the challenge i will be using Put Options to go Short. There are 2 reasons for this. Firstly i love Options Trading and secondly i feel more comfortable with a maximum loss. Buying a Put Option allows me to firstly reduce my cost exposure and going into the trade i know i can only lose the cost of the option premium. Why did i chose Zumtobel to short? Trading strategy 1 (Name: B52) highlighted that the stock was in the danger zone. This strategy effectively looks at where in the cycle a stock is at and calculates the percentage distance from either its 52 week high or low. In the case of Zumtobel, the system came back with screaming shorts. To confirm the trade i overlayed Trading Strategy 2 (Name: AlphaR). Based on linear regression, the strategy highlights break points and pressure zones. In the case of Zumtobel, the pressure zone highlighted further downside risk. Trade Details 04/07/2018 11:21 04/07/2018 Buy 3 ZAG P4.80 21DEC18@0.3 EUR (DE000C2GV9J8) ZAG P4.80 21DEC18 EUR -90.00 In summary for a cost (premium) of 30c (EUR 90), i have exposure to 300 shares on the downside. I did buy out of the money puts at the time, however gave myself enough time (Dec expiry) for the stock to reach the target. I believe the stock will go to $3.50.
VIE:ZAGShort
by The800to1MillionChallenge
AUDUSD - Respecting Rgresion Trend Channel - Long Opp As highlighted in the chart , the Aussie has been trending in a nice bullish channel on the weekly timeframe since Q3 2015 and we are currently seeing a test of trendline support which was last tested in December 2016 and preceeded a bounce from 0.71 to 0.76 Looking forward from today it would not be unrealistic to expect rates to cross the centre line which would take us to 0.786 as an interim target with max target currently 0.82-3 based on the grad,if we project forward using the angle of the last wave up we could expect to reach the target in 12 bars (84 days) If we see a breakdown below the sloping support line then the author suggests stops to be placed just under the May 2017 dip (0.73285) which will give a risk reward of just above 3:1 on the trade , in the event of a drop below the trendline we'd like to see to see a strong bullish engulfing candle (see the Jan 2016 dip) to retain conviction in the trend dynamic. Summary Buy at Support on the regression trendline, initial stop at 0.73285, target 0.82-3, trail stop on close above centre line
Long
by TJP_Trader
BITCOIN: dump over??? close at 8500 and target at 8800ok dear crypto community.. was a rough week! After this almost crash dump we see a bit light here. We closed at almost 8500 and now we are looking at the next target of 8800k BTC. This of course is only a short term trend analysis. We could also have a set back to 8100 levels before taking a new upwards trend to 8800 and 9k. This crash was initiated cause of further mt. gox trustee movements of btc and bch. Few 1000 bitcoins moved out of the cold wallets released again panic on the weak part of the crypto traders. Also pay attention to RSI movements. As you see, before the crash we had an upward regression trend but a downward RSI movement which indicated that a negative breakout would be more likely than positive breakout. Well lets see where this is going. Maybe too soon to determine something here, the manipulation is insane tho, couldn't blame anyone for staying away from this market. Only a 2 to 5 trillion total mcap could prevent this kind of manipulation.
BITFINEX:BTCUSD
by MarkiMark_1559
3
BITCOIN: expected retrace from the 10k lineAs many predicted.. if we dont break the 10k line we will have a possible retrace down to 9.4 - 9.6k. Im glad the support there did hold for now. If the regresseion trend patterns will repeat, we will observe a 10 to 15° uptrend for the next 3 to 5 days. That means we will break the 10k (psychological barrier) in the coming days. I expect a small retrace down to maybe 9.8 - 9.9k BTC after we saw 10.2 to 10.3k. My target of 10.4k - 10.6k still remains valid for the coming consensus 2018 conference mid may. Check out my other published ideas for this. Im bullish on btc and the crypto market as a whole. I think.. the moment we break 10k and can hold it, will be the signal to go pass 11.6k and close this massive double top (20. february and 05. march ) for sure!
BITFINEX:BTCUSDLong
by MarkiMark_1559