Rsquared Indicator 
Rsquared Indicator 
mrippy 
May 22 2006, 05:52 AM
Post
#1

Member Group: Members Posts: 24 Joined: 25December 05 Member No.: 5,080 
I am looking for the RSquared indicator. I first came accross it reading The New Technical Trader, by Chande/Kroll. I then saw it mentioned in Prings, [i]Momentum Explained.
IT is used to determine the strength of a trend. I plan to use it with an oscillator to gauge potential reversals and range/trending etc.. I plan to incorporate this indicator into my trading routine. So this is not some spur of the moment indicator request. I have searched this forum, and another forum, and could not find it. I am unsure if it goes by a different name. I would also be interested in any indicator that does the same thing technicaly. I could not find a basic easylanguage formula, but found something in Metastock and Amibroker. I hope between these two sources is enough to code this indicator. Here is Metastock formula: Pwr(Corr(Com(1),C,14,0),2) This is a paste of Amibroker info: Description: R2 attempts to measure a percentage of a stocks movement that can be attributed to Linear Regression. When used in combination with Slope you have a tool that can aid in trend detection. To determine if the trend is statistically significant for a given xperiod linear regression line, Plot the rsquared indicator and refer to the following table. This table shows the values of rsquared required for A 95% confidence level at various time periods. If the rsquared value is less than the critical values shown, you should assume that prices show no statistically significant trend. Number of Periods rsquared Critical Value(95%confidence) 5 0.77 10 0.40 14 0.27 20 0.20 25 0.16 30 0.13 50 0.08 60 0.06 120 0.03 The indicator includes commentary and an interpretation of its use. Formula: /*To determine if the trend is statistically significant for a given xperiod linear regression line, Plot the rsquared indicator and refer to the following table. This table shows the values of rsquared required for A 95% confidence level at various time periods. If the rsquared value is less than the critical values shown, you should assume that prices show no statistically significant trend. Number ofPeriods rsquaredCritical Value(95%confidence) 5 0.77 10 0.40 14 0.27 20 0.20 25 0.16 30 0.13 50 0.08 60 0.06 120 0.03 */ R2PDS=20; /*for automatic adjustments to the r2 critical value line use one of the periods listed above*/ R2=Correlation(Cum( 1 ),C,r2pds)*Correlation(Cum( 1 ),C,r2pds); slope=LinRegSlope(C,r2pds); Crit=IIf(R2PDS==5,.77,IIf(R2PDS==10,.40,IIf(R2PDS==14,.27,IIf(R2PDS==20,.20,IIf(R2PDS==25,.16,IIf(R2PDS==30,.13,IIf(R2PDS==50,.08,IIf(R2PDS==60,.06,IIf(R2PDS==120,.03,0))))))))); Plot(r2,"R Squared",2,1); Plot(slope,"Slope",IIf(slope<0,4,5),2styleOwnScale); Plot(Crit,"",7,1); Title=WriteIf(R2>Crit,"R2 Values indicate a Trend is in place","R2 Values Indicate a Trendliess Market")+WriteIf(slope>0,"\n Slope is Positive","\n Slope is Negative"); "\n \n Interpretation \n rsquared values show the percentage of movement that can be explained by linear regression. For example, if the rsquared value over 20 days is at 70%, this means that 70% of the movement of the security is explained by linear regression. The other 30% is unexplained Random noise.\n While R2 values are interesting on their own they are easier to interpret when used in conjunction with Slope. When R2 exceeds its critical Value this indicates the market is Trending, when the indicator falls below its threshold then a trend less condition may be in place. \n This table shows the values of rsquared required for A 95% confidence level at various time periods. If the rsquared value is less than the critical values shown, you should assume that prices show no statistically significant trend. \n \n R2 Pds Critical Value(95%confidence)"+ "\n \n 5 0.77\n 10 0.40\n 14 0.27\n 20 0.20\n 25 0.16\n 30 0.13\n 50 0.08 \n 60 0.06 \n 120 0.03" +"\n \n You may even consider opening a Shortterm position opposite the prevailing trend when you observe rsquared rounding off at extreme levels. For example, if the slope is positive AND rsquared is above 0.80 then begins to turn down, you may consider selling or opening A Short position. There are numerous ways to use the linear regression outputs of rsquared and Slope in trading systems. For more detailed coverage, refer to the book The New Technical Trader by Tushar Chande and Stanley Kroll"; Thanks in advance for any help! Mrippy 
cskidmore 
May 22 2006, 10:28 AM
Post
#2

VT Systems Senior Business Analyst Group: Root Admin Posts: 20,613 Joined: 16June 04 Member No.: 4 
Hello,
VT Trader does not currently include the "Correlation" function which is used in both formulas above. Regards, Chris 
charles 
Jan 19 2008, 08:00 PM
Post
#3

Member Group: Members Posts: 31 Joined: 10October 06 Member No.: 8,793 
where is the rsquared and linear regression slope stocks and commodities equations?

cskidmore 
Jan 19 2008, 10:21 PM
Post
#4

VT Systems Senior Business Analyst Group: Root Admin Posts: 20,613 Joined: 16June 04 Member No.: 4 
Hello,
The Linear Regression Slope is a standard indicator in VT Trader. I'll upload the RSquared indicator for you here. Thank you for reminding me that I need to create a new topic for that one in the S&C Indicators forum. Regards, Chris Attached File(s) vt_R2.vtscr ( 1.08k ) Number of downloads: 306 
johngoat 
Feb 15 2009, 06:10 PM
Post
#5

Member Group: Members Posts: 1 Joined: 15February 09 Member No.: 33,742 
how do i install the r squared indicator now that i've downloaded it?
thanks in advance, johngoat 
cskidmore 
Feb 15 2009, 06:47 PM
Post
#6

VT Systems Senior Business Analyst Group: Root Admin Posts: 20,613 Joined: 16June 04 Member No.: 4 
Hello,
Open the Indicator Builder tool in VT Trader and select the [Import] button. Then, choose the rsquared .vtscr file you saved to your PC previously. The RSquared indicator should appear in your list of indicators. You can then attach it to your charts like any other indicator. Regards, Chris 
LoFi Version  Time is now: 17th September 2014  06:30 AM 