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The r-squared calculation that Jack Karczewski focuses on in "Identifying market trends" is very useful in identifying trending and nontrending periods in the markets. This month, I'll present a revised version of the r-squared indicator given in Jon Andersen's September 1996 STOCKS & COMMODITIES article, "Standard error bands." I'll also include two PaintBar studies that identify trending and nontrending periods by painting the price bars. All three studies reference a function named "coeffR" for their basic calculation. The "coeffR" function must be created and verified in the Power Editor prior to creating the studies. The EasyLanguage code for the function follows: Type: Function, Name: coeffR Inputs: Length(Numeric); Vars: X(0), UpEQ(0), LowEQ1(0), LowEQ2(0), LowEQT(0); X = BarNumber; UpEQ = Summation(X * Close, Length) - (Length * Average(X, Length) * Average(Close, Length)); LowEQ1 = Summation(Square(X), Length) - (Length * Square(Average(X, Length))); LowEQ2 = Summation(Square(Close), Length) - (Length * Square(Average(Close, Length))); IF LowEQ1 * LowEQ2 > 0 Then LowEQT = SquareRoot(LowEQ1 * LowEQ2); IF LowEQT <> 0 Then CoeffR = UpEQ / LowEQT; The next step is to develop the r-squared indicator. The r-squared indicator plots the r-squared line as well as a zone for the trending and nontrending levels. In addition, a dot will be displayed on the r-squared line when it has been above/below a trending/nontrending level for a specified number of bars. The Length input determines the length of the r-squared calculation. The Smooth input allows for the r-squared line to be smoothed with a moving average. The Trend input determines the level above which the market is considered trending. The NoTrend input determines the level below which the market is considered nontrending. The RunLen input determines how many consecutive bars must be above/below the trending/nontrending levels in order for a mark to be placed on the r-squared line and an alert to be triggered. The suggested format settings are displayed after the EasyLanguage code. Type: Indicator, Name: R-Squared Inputs: Length(30), Smooth(1), Trend(.7), NoTrend(.3), RunLen(10); Vars: R(0), SquareR(0), AvgSqrR(0); R = coeffR(Length); SquareR = Square(R); IF Smooth > 0 Then AvgSqrR = Average(SquareR, Smooth) Else AvgSqrR = SquareR; Plot1(AvgSqrR, "AvgSqrR"); Plot2(Trend, "Trend"); Plot3(NoTrend, "NoTrend"); IF MRO(AvgSqrR > Trend, RunLen, RunLen) <> -1 OR MRO(AvgSqrR < NoTrend, RunLen, RunLen) <> -1 Then Begin Plot4(AvgSqrR, "Running"); Alert = True; End; Style: Plot Name Type Color Weight Plot1 AvgSqrR Line Cyan thinnest Plot2 Trend Line red thinnest Plot3 NoTrend Line red thinnest Plot4 Running Point white medium Scaling: Screen Properties: Enable Alert This code is available at Omega Research's Web site. The name of the file is "RSqrd.ELA." Please note that all Traders' Tips analysis techniques posted at Omega Research's Web site can be utilized by both TradeStation and SuperCharts. Whenever possible, the posted analysis techniques will include both Quick Editor and Power Editor formats. Gaston Sanchez, Omega Research 800 422-8587, 305 270-1095 Internet: http://www.omegaresearch.com Code:
 all formulas for TradeStationall formulas
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| However we try to maintain hiqhest possible level of service - most formulas, oscillators, indicators and systems are submitted by anonymous users. Therefore S4T™ does not take any responsibility for it's quality. If you use any of this information, use it at your own risk. You are responsible for your own trading decisions. Be sure to verify that any information you see on these pages is correct, and is applicable to your particular trade. In no case will S4T™ be responsible for your trading gains or losses. |
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