RegressionDivergence

Modified on 2017/05/26 10:37 by Eugene — Categorized as: TASCIndicators

Syntax

public RegressionDivergence(Bars bars, Bars barsFirst, Bars barsSecond, int periodRegression, int periodRegressionMomentum, int periodROC, string description)
public static RegressionDivergence Series(Bars bars, Bars barsFirst, Bars barsSecond, int periodRegression, int periodRegressionMomentum, int periodROC)

Parameter Description

bars	Bars object
barsFirst	First symbol for building correlation (FXY)
barsSecond	Secondsymbol for building correlation (SPY)
periodRegression	Divergence regression lookback period
periodRegressionMomentum	Regression momentum lookback period
periodROC	ROC lookback period

Description

Created by Markos Katsanos, Regression Divergence calculates the divergence between a security and related market by regressing the rate of change between the two securities and then calculating the difference of the actual from the forecasted price.

Example

Please refer to July 2017 Traders' Tip article's code in Stocks and Commodities Magazine.