I have been searching for the R-Squared indicator. I first read about it in Chande/KRoll The New Technical Trader. It is also mentioned repeatedly in Prings Momentum Explained II. Pring uses it as a filter coupled with his indicators. It is basically the measurement of the strength of a trend - not the direction. Example would be to use it with oscillators- when you have a stoichastic cross and high r-squared readings - high probality change in trend: If low r-squared readings and stoichastic cross - ignore cross or trade.
I requested the indicator at VTTRADER and they said it could not be programmed because they do not have Corr function? I am not a programmer so I have no idea what that means. I do have something from Metastock and Amibroker.

Metastock formula:

Pwr(Corr(Com(1),C,14,0),2)

Here is paste of Amibroker info:
Description:
R-2 attempts to measure a percentage of a stocks movement that can be attributed to Linear Regression. When used in combination with Slope you have a tool that can aid in trend detection.

To determine if the trend is statistically significant for a given x-period linear regression line, Plot the r-squared indicator and refer to the following table. This table shows the values of r-squared required for A 95% confidence level at various time periods. If the r-squared value is less than the critical values shown, you should assume that prices show no statistically significant trend.

Number of Periods r-squared Critical Value(95%confidence)
5 0.77
10 0.40
14 0.27
20 0.20
25 0.16
30 0.13
50 0.08
60 0.06
120 0.03

The indicator includes commentary and an interpretation of its use.


Formula:
/*To determine if the trend is statistically significant for a given x-period
linear regression line, Plot the r-squared indicator and refer to the following
table. This table shows the values of r-squared required for A 95% confidence
level at various time periods. If the r-squared value is less than the
critical values shown, you should assume that prices show no statistically
significant trend.

Number ofPeriods r-squaredCritical Value(95%confidence)
5 0.77
10 0.40
14 0.27
20 0.20
25 0.16
30 0.13
50 0.08
60 0.06
120 0.03
*/

R2PDS=20; /*for automatic adjustments to the r2 critical value line use one of
the periods listed above*/

R2=Correlation(Cum( 1 ),C,r2pds)*Correlation(Cum( 1 ),C,r2pds);
slope=LinRegSlope(C,r2pds);

Crit=IIf(R2PDS==5,.77,IIf(R2PDS==10,.40,IIf(R2PDS= =14,.27,IIf(R2PDS==20,.20,IIf(R2PDS==25,.16,IIf(R2 PDS==30,.13,IIf(R2PDS==50,.08,IIf(R2PDS==60,.06,II f(R2PDS==120,.03,0)))))))));

Plot(r2,"R Squared",2,1);
Plot(slope,"Slope",IIf(slope<0,4,5),2|styleOwnScal e);
Plot(Crit,"",7,1);

Title=WriteIf(R2>Crit,"R2 Values indicate a Trend is in place","R2 Values
Indicate a Trendliess Market")+WriteIf(slope>0,"\n Slope is Positive","\n Slope
is Negative");

"\n \n Interpretation \n r-squared values show the percentage of movement that
can be explained by linear regression. For example, if the r-squared value over
20 days is at 70%, this means that 70% of the movement of the security is
explained by linear regression. The other 30% is unexplained Random noise.\n
While R2 values are interesting on their own they are easier to interpret when
used in conjunction with Slope. When R2 exceeds its critical Value this
indicates the market is Trending, when the indicator falls below its threshold
then a trend less condition may be in place. \n This table shows the values of
r-squared required for A 95% confidence level at various time periods. If the
r-squared value is less than the critical values shown, you should assume that
prices show no statistically significant trend. \n \n R-2 Pds Critical
Value(95%confidence)"+

"\n \n 5 0.77\n 10 0.40\n 14
0.27\n 20 0.20\n 25 0.16\n 30
0.13\n 50 0.08 \n 60 0.06 \n 120
0.03"

+"\n \n You may even consider opening a Short-term position opposite the
prevailing trend when you observe r-squared rounding off at extreme levels. For
example, if the slope is positive AND r-squared is above 0.80 then begins to
turn down, you may consider selling or opening A Short position. There are
numerous ways to use the linear regression outputs of r-squared and Slope in
trading systems. For more detailed coverage, refer to the book The New
Technical Trader by Tushar Chande and Stanley Kroll";

I hope this is enough info to program a indicator.

I am also interested in any other indicators that do the same thing. Any way to guage the strength of a indicator signal. A filter to stop some indicator signals with weak strength. Also a heads up that some indicator signal is really strong.

Thanks for any help or comments! - Mrippy

I now understand why nobody took you up on your request! Also, some guys who come up with "their" new idea.

I suggest you have a look at this website as a matter of interest and select from here what you you would like to see on MT4. Best is to get someone with MetaStock to see some of these "beautes" in action.

I came across it while looking for Chande_Kroll_Stop.

If there is anyone of you wizzards out there willing to make this indicator from the data that is available, it would be much appreciated. Thanking you in anticipation.

http://www.xeatrade.com/all/

Best wishes.

__________________
"Risk comes from not knowing what you are doing" The Tao of Warren Buffett.

"Avoiding mistakes, makes people STUPID and having to be RIGHT, makes you OBSOLETE." Robert Kiyosaki.

It would be very nice to see this programmed

yes, agreed, can anyone help on this?

Attached Images

rslope.gif (16.0 KB, 1828 views)

__________________
"I do not need a compass to tell me which way the wind is shining."

Can you share?

Found this in this forum, different thread. Hope it helps.

Attached Files

ChandelierStops_v1.mq4 (2.9 KB, 214 views)

anyone have any luck with the R- Squared indicator?

I am also looking for Linear Regression Slope indicator.. I think both of these indicators used in combination would be extremely effective.

__________________
Metatrader 4 - EA Live and Demo Hosting Solutions http://www.omegasupreme.com & Omega Trading Blog!

Linear Regression Slope indicator's name is Moving Slope Rate of Change (or LinRegSlope). Author is fxtraderusa.

There is the other indicator: JMASlope. Author is Igorad/Weld.

I am not sure it is possible ot post the indicators ... may be copywrite or commercial?
Not sure.

May be those indicators are not the same that you want.

Attached Images

slope.gif (21.0 KB, 1518 views)

Hi ND thanks, i'd love to try them out but too bad you cannot post them. VTTrader has a built in Linear Regression Indicator I would have compared against that to see if any of the ones you posted would look the same.

It's unfortunate that the indicators can't be released to the public.

__________________
Metatrader 4 - EA Live and Demo Hosting Solutions http://www.omegasupreme.com & Omega Trading Blog!