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Variables do not exist in the max bars back area. MM1 should not be
calculated until CurrentBar >= 6. CurrentBar begins its count at one after
the max bars back area. Thus, the first time MM1 can correctly be
calculated is at CurrentBar = 6. We need four iterations ( Bar 6, 7, 8, 9 )
of MM1 to correctly calculate MM2 for the first time. Thus, MM2 should not
be calculated until CurrentBar >= 9. For example:
AD = 100*(adv-dec)/(adv+dec+unc);
if CurrentBar >= 6 then mm1 = LinearRegSlope(AD, 6);
if CurrentBar >= 9 then mm2 = LinearRegSlope(mm1, 4);
Best regards,
Benjamin "ElGuru" Blanco
Certified EasyLanguage Specialist
http://www.blancofamily.net/elguru
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, July 03, 2002 12:45 AM
Subject: error in TS LinearRegSlope function
While testing a strategy, I noticed some strange and unexpected
signals. Here are the EL statements:
AD = 100*(adv-dec)/(adv+dec+unc);
mm1 = LinearRegSlope(AD, 6);
mm2 = LinearRegSlope(mm1, 4);
Here's a sample of what TradeStation 2000i calculated:
date AD mm1 mm2
1000627 10.70 4.73 2.78
1000628 19.55 7.91 3.60
1000629 -0.57 61.10 18.57
1000630 0.29 18.32 9.39
1000703 35.64 -14.95 -11.13
1000705 1.13 -53.88 -37.82
1000706 9.92 -90.12 -36.43
The AD column is calculated correctly. However, the mm1 column is
NOT the linear regression slope of the last 6 AD values. See that
last mm1 value -90.12? It should be -0.22. The value previous to
that, -53.88, should be 0.037.
Oddly, the mm2 column is calculated correctly (using the incorrect
mm1 values).
What's going on here? I tried the LinerRegSlopeFC function with the
same result. Also, when I make an indicator to plot mm1, it plots
with the correct values! In my strategy, however, the values are
incorrect, and so are the buy/sell signals resulting from them.
I don't understand this. Any clues?
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
|