linearTimeTrend
Syntax
linearTimeTrend(X, window)
Please see TA-Lib Functions for the parameters and windowing logic.
Details
Calculate the moving linear regression for X. Return a tuple with 2 elements, alpha (the Linear regression intercept LINEARREG_INTERCEPT) and beta (the linear regression slope LINEARREG_SLOPE).
Examples
$ x = 3 3 5 7 8 9 10 11 15 13 12 11 10
$ print linearTimeTrend(x,3)
([,,2.666666666666666,3,5.166666666666667,7,8,9,9.5,12,14.833333333333333,13,12],[,,1,2,1.5,1,1,1,2.5,1,-1.5,-1,-1])
$ n = 10
$ t = table(09:00:00 + 1..n as time, rand(`A`B, n) as sym, rand(100.0, n) as val1, rand(1000..2000, n) as val2)
$ select time, sym, linearTimeTrend(val1, 3) as `alpha`beta from t
time |
sym |
alpha |
beta |
---|---|---|---|
09:00:01 |
B |
||
09:00:02 |
A |
||
09:00:03 |
A |
85.0844 |
-30.0688 |
09:00:04 |
B |
49.3461 |
7.3621 |
09:00:05 |
B |
30.4248 |
28.3589 |
09:00:06 |
A |
83.106 |
-7.7515 |
09:00:07 |
B |
78.4412 |
-17.7575 |
09:00:08 |
A |
56.8575 |
4.4732 |
09:00:09 |
A |
53.8492 |
-6.0653 |
09:00:10 |
A |
61.7888 |
-4.5586 |