Regression Channel Trailing chart

[HJSInvesting]

Hi,

Can someone please help me to develop a trailing indicator of Upper/Middle/Lower values of a Regression Channel?

I need to recognize that my programming skills are -0.1, sorry.

I am attaching a manual drawing of the way I see this indicator working. The brown line in the picture is the trailing plot of the Upper value of a Regression Channel (18 Bars, 2 Std Dev). The same would be for the Middle and Lower values.

* Note that I am leaving all the Regression Channels from the previous bars for demonstration purposes, the channels would not show up, only the Brown line shown in the picture for the corresponding Upper/Middle/Lower values.

I think the variables to select for the Reg Channel should be: the Std Dev to use (2,3, etc.), the Price type (OHLC), the Period (# of Bars).

Thanks in advance. I promise to share how to use it if I find it beneficial after testing it with real trades.

HJS

[NinjaTrader_Ray]

If no one is willing to help, you can consider a NinjaScript consultant. Link to list below.

http://www.ninjatrader.com/webnew/partners_onlinetrading_NinjaScript.htm

[TCT-Peter]

Hi,

Can someone please help me to develop a trailing indicator of Upper/Middle/Lower values of a Regression Channel?


HJS

This looks like a pair of Bollinger Bands, but using the regression rather than the moving average as the centre line.

If so, perhaps it's worth trying the following:
a) copy the existing Bollinger Band indicator source code file, and call it say "BollingerLinReg.cs"
b) change the indicator name "Bollinger" everywhere it appears in the source code to your own name, i.e. "BollingerLinReg".
c) change the 3 lines in the OnBarUpdate function that refer to the SMA to refer instead to LinReg. Just a simple text substitution of "LinReg" for "SMA".

I tried it, and it works fine, although there are a few dozen subsititutions of "Bollinger" to "BollingerLinReg" to perform so it's a bit tedious.

Alternatively, create your own brand new indicator using the Wizard with the appropriate parameters (Period, NumStdDev etc) exactly as for the standard Bollinger Band indicator, set Overlay = true, PriceTypeSupported = true, and when it has all been created, just copy the following 3 lines into the OnBarUpdate method, replacing everything that's already in there.

Upper.Set(LinReg(Period)[0] + NumStdDev * StdDev(Period)[0]);
Middle.Set(LinReg(Period)[0]);
Lower.Set(LinReg(Period)[0] - NumStdDev * StdDev(Period)[0]);

Good luck
Peter

[HJSInvesting]

Peter,

Thanks a lot for the suggestion. I tried it but the new bands do not quite follow the Reg Channels limits as in the picture that I sent. The new bands expand way farther than the Upper/Lower limits that the Regression Channel would create.

In fact that is the reason why I think this may be useful, because it would "filter" a lot of the variability that Bollinger bands usually show.

HJS

[TCT-Peter]

Peter,

Thanks a lot for the suggestion. I tried it but the new bands do not quite follow the Reg Channels limits as in the picture that I sent. The new bands expand way farther than the Upper/Lower limits that the Regression Channel would create.

In fact that is the reason why I think this may be useful, because it would "filter" a lot of the variability that Bollinger bands usually show.

HJS

HJS,

The picture doesn't indicate how the channel lines were created so I assumed from your text that they use a StdDev calculation. If they use some other method, then a similar technique could be applied using a different channel calculation.

For example, if you prefer a multiple of ATR then maybe you could try instead (although the pedantic would now say that this is not Bollinger any more, so a different indicator name could be invented):

Upper.Set(LinReg(Period)[0] + NumStdDev * ATR(Period)[0]);
Middle.Set(LinReg(Period)[0]);
Lower.Set(LinReg(Period)[0] - NumStdDev * ATR(Period)[0]);



Cheers
Peter

[NinjaTrader_Bertrand]

Thanks Peter, good point. Or the Standard Error, which is often used in combination with Linear Regression - http://www.ninjatrader-support.com/H...dardError.html

You might also want to consider the Standard Errors Bands Smoothed as trailing stop levels, please find the script attached.

[TCT-Peter]

Thanks Peter, good point. Or the Standard Error, which is often used in combination with Linear Regression - http://www.ninjatrader-support.com/H...dardError.html

You might also want to consider the Standard Errors Bands Smoothed as trailing stop levels, please find the script attached.

Ah - excellent and elegant!

Peter

[HJSInvesting]

Thanks Peter and Bertrand.