RSquared

Description

The RSquared function identifies trending and non-trending markets. The function produces a value between 0 and 1. Values below 0.3 indicate non-trending markets while values above 0.7 are said to be trending.

Peaks above 0.7 are important signals in this study. As a trend develops, the RSquared value rises out of non-trending levels. When the RSquared value falls above 0.7, the market has peaked.

Formula

RSquared(SERIES, Period=10, Smooth=1)=begin

  SquareR = 0

  AvgSqrR = 0

  start = 0

  finish = Period

  total = 0

  average = 0

  if Period > 0 then begin

    while start < finish do begin

      total = total + vchart(RSquared_1(SERIES, Period, start)[(start - 1)])

      start=start+1

    end

    average = total / Period

  end

  retval = Scale(average,TEN_THOUSANDTHS)

end

Parameters

SERIES

The SERIES directive makes this formula available as a Formula Study. SERIES refers to the instrument in a chart. SERIES does not become a study parameter.

Period

Number of bars used to evaluate. The default is 10.

Smooth

Number used to smooth the RSquared value. The default is 1.

Return Value

The square of the Pearson product moment correlation coefficient, R.

Examples

Comments

NA