Linear Regression Line and channel

[benjnse]

Will someone please convert this indicator for me, it's the Linear regression line with 3 sets of channel lines, each set being x standard deviations away with x being variable for each channel set. The mql4 code is attached as well as below for ease of use:

//+------------------------------------------------------------------+
//| Linear Regression.mq4 |
//| Copyright © 2006, tageiger, aka fxid10t@yahoo.com |
//| http://www.metaquotes.net |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, tageiger, aka fxid10t@yahoo.com"
#property link "http://www.metaquotes.net"
#property indicator_chart_window

extern int period=0;
/*default 0 means the channel will use the open time from "x" bars back on which ever time period
the indicator is attached to. one can change to 1,5,15,30,60...etc to "lock" the start time to a specific
period, and then view the "locked" channels on a different time period...*/
extern int line.width=2;
extern int LR.length=34; // bars back regression begins
extern color LR.c=Orange;
extern double std.channel.1=0.618; // 1st channel
extern color c.1=Gray;
extern double std.channel.2=1.618; // 2nd channel
extern color c.2=Gray;
extern double std.channel.3=2.618; // 3nd channel
extern color c.3=Gray;

int init(){return(0);}

int deinit(){ ObjectDelete(period+"m "+LR.length+" TL");
ObjectDelete(period+"m "+LR.length+" +"+std.channel.1+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.1+"d");
ObjectDelete(period+"m "+LR.length+" +"+std.channel.2+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.2+"d");
ObjectDelete(period+"m "+LR.length+" +"+std.channel.3+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.3+"d");
return(0);}

int start(){//refresh chart
ObjectDelete(period+"m "+LR.length+" TL");
ObjectDelete(period+"m "+LR.length+" +"+std.channel.1+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.1+"d");
ObjectDelete(period+"m "+LR.length+" +"+std.channel.2+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.2+"d");
ObjectDelete(period+"m "+LR.length+" +"+std.channel.3+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.3+"d");
//linear regression calculation
int start.bar=LR.length, end.bar=0;
int n=start.bar-end.bar+1;
//---- calculate price values
double value=iClose(Symbol(),period,end.bar);
double a,b,c;
double sumy=value;
double sumx=0.0;
double sumxy=0.0;
double sumx2=0.0;
for(int i=1; i<n; i++)
{
value=iClose(Symbol(),period,end.bar+i);
sumy+=value;
sumxy+=value*i;
sumx+=i;
sumx2+=i*i;
}
c=sumx2*n-sumx*sumx;
if(c==0.0) return;
b=(sumxy*n-sumx*sumy)/c;
a=(sumy-sumx*b)/n;
double LR.price.2=a;
double LR.price.1=a+b*n;

//---- maximal deviation calculation (not used)
double max.dev=0;
double deviation=0;
double dvalue=a;
for(i=0; i<n; i++)
{
value=iClose(Symbol(),period,end.bar+i);
dvalue+=b;
deviation=MathAbs(value-dvalue);
if(max.dev<=deviation) max.dev=deviation;
}
//Linear regression trendline
ObjectCreate(period+"m "+LR.length+" TL",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1,Time[end.bar],LR.price.2);
ObjectSet(period+"m "+LR.length+" TL",OBJPROP_COLOR,LR.c);
ObjectSet(period+"m "+LR.length+" TL",OBJPROP_WIDTH,line.width);
ObjectSet(period+"m "+LR.length+" TL",OBJPROP_RAY,false);
//...standard deviation...
double x=0,x.sum=0,x.avg=0,x.sum.squared=0,std.dev=0;
for(i=0; i<start.bar; i++) {
x=MathAbs(iClose(Symbol(),period,i)-ObjectGetValueByShift(period+"m "+LR.length+" TL",i));
x.sum+=x;
if(i>0) {
x.avg=(x.avg+x)/i;
x.sum.squared+=(x-x.avg)*(x-x.avg);
std.dev=MathSqrt(x.sum.squared/(start.bar-1)); } }
//Print("LR.price.1 ",LR.price.1," LR.Price.2 ",LR.price.2," std.dev ",std.dev);
//...standard deviation channels...
ObjectCreate(period+"m "+LR.length+" +"+std.channel.1+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1+std.dev*std.channel.1,
Time[end.bar],LR.price.2+std.dev*std.channel.1);
ObjectSet(period+"m "+LR.length+" +"+std.channel.1+"d",OBJPROP_COLOR,c.1);
ObjectSet(period+"m "+LR.length+" +"+std.channel.1+"d",OBJPROP_WIDTH,line.width);
ObjectSet(period+"m "+LR.length+" +"+std.channel.1+"d",OBJPROP_RAY,false);

ObjectCreate(period+"m "+LR.length+" -"+std.channel.1+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1-std.dev*std.channel.1,
Time[end.bar],LR.price.2-std.dev*std.channel.1);
ObjectSet(period+"m "+LR.length+" -"+std.channel.1+"d",OBJPROP_COLOR,c.1);
ObjectSet(period+"m "+LR.length+" -"+std.channel.1+"d",OBJPROP_WIDTH,line.width);
ObjectSet(period+"m "+LR.length+" -"+std.channel.1+"d",OBJPROP_RAY,false);

ObjectCreate(period+"m "+LR.length+" +"+std.channel.2+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1+std.dev*std.channel.2,
Time[end.bar],LR.price.2+std.dev*std.channel.2);
ObjectSet(period+"m "+LR.length+" +"+std.channel.2+"d",OBJPROP_COLOR,c.2);
ObjectSet(period+"m "+LR.length+" +"+std.channel.2+"d",OBJPROP_WIDTH,line.width);
ObjectSet(period+"m "+LR.length+" +"+std.channel.2+"d",OBJPROP_RAY,false);

ObjectCreate(period+"m "+LR.length+" -"+std.channel.2+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1-std.dev*std.channel.2,
Time[end.bar],LR.price.2-std.dev*std.channel.2);
ObjectSet(period+"m "+LR.length+" -"+std.channel.2+"d",OBJPROP_COLOR,c.2);
ObjectSet(period+"m "+LR.length+" -"+std.channel.2+"d",OBJPROP_WIDTH,line.width);
ObjectSet(period+"m "+LR.length+" -"+std.channel.2+"d",OBJPROP_RAY,false);

ObjectCreate(period+"m "+LR.length+" +"+std.channel.3+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1+std.dev*std.channel.3,
Time[end.bar],LR.price.2+std.dev*std.channel.3);
ObjectSet(period+"m "+LR.length+" +"+std.channel.3+"d",OBJPROP_COLOR,c.3);
ObjectSet(period+"m "+LR.length+" +"+std.channel.3+"d",OBJPROP_WIDTH,line.width);
ObjectSet(period+"m "+LR.length+" +"+std.channel.3+"d",OBJPROP_RAY,false);

ObjectCreate(period+"m "+LR.length+" -"+std.channel.3+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1-std.dev*std.channel.3,
Time[end.bar],LR.price.2-std.dev*std.channel.3);
ObjectSet(period+"m "+LR.length+" -"+std.channel.3+"d",OBJPROP_COLOR,c.3);
ObjectSet(period+"m "+LR.length+" -"+std.channel.3+"d",OBJPROP_WIDTH,line.width);
ObjectSet(period+"m "+LR.length+" -"+std.channel.3+"d",OBJPROP_RAY,false);

return(0);}
//+------------------------------------------------------------------+

[benjnse]

hmmm must've done something wrong in the attachment process lets try again attached is the Linear Regression indicator for metatrader4 ahh got it can't attach a .mql4 so it has been zipped up

Also am going to try to add a second attachment which will be a picture of what it should look like.

Thanks,
Ben

[benjnse]

It just occurred to me that the way the indicator works is if there's enough history it will always plot the linear regression line and channels from current bar to current bar - x (x being a variable number of time periods in the past). And while that is indeed how it should be used and how I actually use them to trade. It could be more useful to also have the option of telling it that this is the date to end on and go back x number of bars or even to tell it this is the start bar and this is the finish bar plot between those 2. Just thinking that that way it could actually become more of an indicator that other indicators could use, first thought that comes to mind is Jan Arps automatic Linear Regression channels: http://www.janarps.com/catalog/product_ ... ucts_id=57

Just some musings,

Thanks,
Ben

starting to think that maybe i should spend some time figureing out delphi.

[flimbo]

i rebuild it but from another mq4 source.
i think it`s same.