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