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Pine Script - Sample Regression Indicator

This Pine Script code creates a linear regression trend channel indicator with Pearson's correlation coefficient (R) for a given security over a specified period. It calculates the slope, intercept, and deviation of the regression line and plots the regression line, upper channel, median channel and lower channel lines on the chart along with a label showing the Pearson's R value.

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Koh JZ
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789 views2 pages

Pine Script - Sample Regression Indicator

This Pine Script code creates a linear regression trend channel indicator with Pearson's correlation coefficient (R) for a given security over a specified period. It calculates the slope, intercept, and deviation of the regression line and plots the regression line, upper channel, median channel and lower channel lines on the chart along with a label showing the Pearson's R value.

Uploaded by

Koh JZ
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Pine Script - Sample Regression Indicator

Sample Regression indicator:

// This source code is subject to the terms of the Mozilla Public License 2.0 at
https://mozilla.org/MPL/2.0/
// © aleph_tav

//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at
https://mozilla.org/MPL/2.0/
// © x11joe
// Credit given to @midtownsk8rguy for original source code. I simply modified
to add Pearson's R

//@version=5
indicator("Linear Regression Trend Channel With Pearson's R", "LRTCWPR",
true, format.inherit)
period = input.int( 20, "Period" , minval=3)
deviations = input.float( 2.0, "Deviation(s)" , minval=0.1, step=0.1)
extendType = input.string("Right", "Extend Method" ,
options=["Right","None"])=="Right" ? extend.right : extend.none
periodMinusOne = period-1
Ex = 0.0, Ey = 0.0, Ex2 = 0.0,Ey2 =0.0, Exy = 0.0, for i=0 to periodMinusOne
closeI = nz(close[i]), Ex := Ex + i, Ey := Ey + closeI, Ex2 := Ex2 + (i * i),Ey2 :=
Ey2 + (closeI * closeI), Exy := Exy + (closeI * i)
ExT2 = math.pow(Ex,2.0) //Sum of X THEN Squared
EyT2 = math.pow(Ey,2.0) //Sym of Y THEN Squared
PearsonsR = (Exy - ((Ex*Ey)/period))/(math.sqrt(Ex2-(ExT2/
period))*math.sqrt(Ey2-(EyT2/period)))
ExEx = Ex * Ex, slope = Ex2==ExEx ? 0.0 : (period * Exy - Ex * Ey) / (period *
Ex2 - ExEx)
linearRegression = (Ey - slope * Ex) / period
intercept = linearRegression + bar_index * slope
deviation = 0.0, for i=0 to periodMinusOne
deviation := deviation + math.pow(nz(close[i]) - (intercept - slope *
(bar_index[i])), 2.0)
deviation := deviations * math.sqrt(deviation / periodMinusOne)
startingPointY = linearRegression + slope * periodMinusOne
var label pearsonsRLabel = na
label.delete(pearsonsRLabel[1])
pearsonsRLabel := label.new(bar_index,startingPointY -
deviation*2,text=str.tostring(PearsonsR),
color=color.black,style=label.style_label_down,textcolor=color.white,size=size.
large)
var line upperChannelLine = na , var line medianChannelLine = na , var line
lowerChannelLine = na
line.delete(upperChannelLine[1]), line.delete(medianChannelLine[1]),
line.delete(lowerChannelLine[1])
upperChannelLine := line.new(bar_index - period + 1, startingPointY +
deviation, bar_index, linearRegression + deviation, xloc.bar_index, extendType,
color.new(#FF0000, 0), line.style_solid , 2)
medianChannelLine := line.new(bar_index - period + 1, startingPointY ,
bar_index, linearRegression , xloc.bar_index, extendType,
color.new(#C0C000, 0), line.style_solid , 1)
lowerChannelLine := line.new(bar_index - period + 1, startingPointY -
deviation, bar_index, linearRegression - deviation, xloc.bar_index, extendType,
color.new(#00FF00, 0), line.style_solid , 2)

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