Is there a time series forecast indicator - Page 3

RickW00716 · #21 (**permalink**) 03-21-2008, 08:25 AM

Quote:

Originally Posted by newmont

I have found another version of tsf. Dont know much about this indicator , at one stage i used tsf but i think the other version that somebody has posted. Hope this version is the one you are looking for.

could this indicator be modified to have choices for inputs like regular MAs do?
i.e...high,low,HLCC/4,etc.

Linuxser · #22 (**permalink**) 03-21-2008, 04:06 PM

Quote:

Originally Posted by newmont

I was reading the link posted by linuxser and they made some observation that tsf was associated with Lin reg, I realise the association in the formula and have included another useful indicator.

Exactly,
TSF its a derivation of LR. I was looking into the code of many TSF indicators and now I have too many doubts. It´s like there is some confusion and some TSF indicator are jut LR Line.

I have the TS code for indciator and functions and I suppose they're ok:

Quote:

{************************************************* ******************
Description: Time Series Forecast
Provided By: Omega Research, Inc. (c) Copyright 1999
************************************************** ******************}

Inputs: Length(NumericSimple), BarsPlus(NumericSimple);

TimeSeriesForecast = LinearRegValue(Close, Length, BarsPlus);

Quote:

{************************************************* ******************
Description : This Indicator plots Time Series Forecast
Provided By : Omega Research, Inc. (c) Copyright 1999
************************************************** ******************}

Inputs: Length(5), BarsPlus(7);

Plot1(TimeSeriesForecast(Length, BarsPlus), "TSForecast");

{Alert Criteria}
If Close < Plot1 AND Plot1 < Plot1[1] AND Plot1[1] > Plot1[2] Then
Alert("The Time Series Forecast line has just changed direction and is now bullish")
Else
If Close > Plot1 AND Plot1 > Plot1[1] AND Plot1[1] < Plot1[2] Then
Alert("The Time Series Forecast line has just changed direction and is now bearish");

{Time Series Forecast Expert Commentary}
#BeginCmtry
Commentary(ExpertTimeSerForcast(Plot1, Length, BarsPlus));
#End;

Quote:

{************************************************* ******************
Description: Linear Regression Value
Provided By: Omega Research, Inc. (c) Copyright 1999
************************************************** ******************}

Inputs: Price(NumericSeries), Len(NumericSimple), TargetB(NumericSimple);
Variables: X(0), Num1(0), Num2(0), SumBars(0), SumSqrBars(0), SumY(0), Sum1(0), Sum2(0), Slope(0), Intercept(0);

If Len = 0 Then
LinearRegValue = 0;

SumBars = 0;
SumSqrBars = 0;
SumY = 0;
Sum1 = 0;
Sum2 = 0;
SumY = Summation(Price, Len);
SumBars = Len * (Len - 1) * .5;
SumSqrBars = (Len - 1) * Len * (2 * Len - 1) / 6;

For X = 0 To Len - 1 Begin
Sum1 = Sum1 + X * Price[X];
End;

Sum2 = SumBars * SumY;
Num1 = Len * Sum1 - Sum2;
Num2 = SumBars * SumBars - Len * SumSqrBars;

If Num2 <> 0 Then
Slope = Num1 / Num2
Else
Slope = 0;

Intercept = (SumY - Slope * SumBars) / Len;

LinearRegValue = Intercept + Slope * (Len - 1 + CurrentBar - BarNumber - TargetB);

The article says:

Quote:

The resulting Time Series Forecast indicator is sometimes referred to as the "moving linear regression" indicator or the "regression oscillator."

TSF is the MA of Linear Regression

RickW00716 · #23 (**permalink**) 03-26-2008, 06:45 PM

Quote:

Originally Posted by newmont

I have found another version of tsf. Dont know much about this indicator , at one stage i used tsf but i think the other version that somebody has posted. Hope this version is the one you are looking for.

Is it possible to have this indicator applied to highs and lows also to form a channel?

Linuxser · #24 (**permalink**) 03-26-2008, 09:58 PM

Quote:

Originally Posted by RickW00716

Is it possible to have this indicator applied to highs and lows also to form a channel?

Time Series Forecast is "some kind" of moving average in a ugly description.

Maybe by changing two words you could have something like you want, but I´m unsure about the results

Code:

Sy  =iClose(NULL,0,st0);          //double sumy=value;

Code:

y   = iClose(NULL,0,st0+i);    //value  = Close[m_pos[0]+i];

with iOpen/iClose/iHigh/iLow

mladen · #25 (**permalink**) 03-26-2008, 10:52 PM

This should do it
Time series forecast is linear regression value with one additional parameter : the "forecasting" parameter

Of LRVForecast parameter :
when set to 0 : Time series forecast == Linear regression value
when set to < 0 : "future"
when set to > 0 : "past"

Ethan Hunt · #26 (**permalink**) 03-27-2008, 07:19 AM

Quote:

Originally Posted by mladen

This should do it
Time series forecast is linear regression value with one additional parameter : the "forecasting" parameter

Of LRVForecast parameter :
when set to 0 : Time series forecast == Linear regression value
when set to < 0 : "future"
when set to > 0 : "past"

Hi mladen, love your work, it's always nice to see your indicators...

Cheers

Ethan

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