Support Board
Date/Time: Thu, 13 Feb 2025 20:05:24 +0000
[Programming Help] - Linear regression of two price series
View Count: 548
| [2020-12-22 14:30:10] |
| User820318 - Posts: 40 |
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I would like to run a linear regression using the price series of two instruments as my dependent and independent variables and compute the residuals. - e.g. y=c+m*x, where y = last price of GC and x = last price of SL. From what I understand the sc.LinearRegressionIndicator() only takes one input variable as well as index (time).Is there a way to achieve what I am trying? |
| [2020-12-22 21:19:04] |
| User820318 - Posts: 40 |
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Figured this out using a spreadsheet study and calculating the SLOPE and INTERCEPT and then using that to generate predicted values and residuals.
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