Linear Regression Trading System (revised 2/5/2003)
		{#OptVar1 12;5;200;1} { Report on how far closing prices are away from predicted value } var S: string; var DIFF: float; var BAR: integer; var L1: integer; L1:=#OptVar1; PlotSeries( LinearRegSeries( #Close, L1 ), 0, 002, #Thick ); Bar := BarCount - 1; Diff := PriceClose( Bar ) - LinearReg( Bar, #Close, L1 ); Diff := Diff / PriceClose( Bar ) * 100; if Diff > 0 then s := 'Price closed above ' else s := 'Price closed below '; Diff := Abs( Diff ); s := s + 'the Regression Line by ' + FormatFloat( '#0.00%', Diff ); DrawLabel( s, 0 ); { Chart Colors } for Bar := L1 to BarCount - 1 do begin If LinearReg(Bar, #Close, L1)> LinearReg(Bar-1, #Close, L1) then SetBarColor(Bar, #Green); If LinearReg(Bar, #Close, L1)< LinearReg(Bar-1, #Close, L1) then SetBarColor(Bar, #Red); end; { Trading System } FOR Bar := L1 to BarCount - 1 DO BEGIN IF TurnUp( Bar, LinearRegSeries( #Close, L1 )) then BEGIN CoverAtMarket( Bar + 1, LastPosition, 'Cover Short ' ); BuyAtMarket( Bar + 1, 'Buy to Open Long' ); END; IF TurnDown( Bar, LinearRegSeries( #Close, L1 ))then BEGIN SellAtMarket( Bar + 1, LastPosition, 'Sell to Close Long' ); ShortAtMarket( Bar + 1, 'Short' ); END; END;
				Sample chart using "dynamic" linear regression line.   Color is changed when the direction of the line changes - can be used as entry points or exit points together with other strategies.  Simple trading system included for testing.  You can test the powerful optimization feature in WLD2 with this script.
				Warning:  Use this script at your own risk. Back to the Main Page , Go to the Download Page Comments and questions can be submitted here.