LinearRegressionRSquared


Summary

The Linear Regression R Squared is used to confirm the strength of the market trend.

Remarks

A higher value of R-Squared means that the stronger the trend.

Syntax

public interface LinearRegressionRSquared

Members

NameTypeSummary
Result PropertyThe Result Series of the Linear Regression R Squared indicator.

Example 1

private LinearRegressionRSquared rSquared;
protected override void OnStart()
{
    // initialize rSquared indicator
    rSquared = Indicators.LinearRegressionRSquared(Source, Period);
}
protected override void OnTick()
{
    Print("{0}", rSquared.Result.LastValue);
}

Example 2

using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
namespace cAlgo.Robots
{
    // This sample cBot shows how to use the Linear Regression R Squared indicator
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class LinearRegressionRSquaredSample : Robot
    {
        private double _volumeInUnits;
        private LinearRegressionRSquared _linearRegressionRSquared;
        private SimpleMovingAverage _simpleMovingAverage;
        private ExponentialMovingAverage _exponentialMovingAverage;
        [Parameter("Volume (Lots)", DefaultValue = 0.01)]
        public double VolumeInLots { get; set; }
        [Parameter("Stop Loss (Pips)", DefaultValue = 10)]
        public double StopLossInPips { get; set; }
        [Parameter("Take Profit (Pips)", DefaultValue = 10)]
        public double TakeProfitInPips { get; set; }
        [Parameter("Label", DefaultValue = "Sample")]
        public string Label { get; set; }
        public Position[] BotPositions
        {
            get
            {
                return Positions.FindAll(Label);
            }
        }
        protected override void OnStart()
        {
            _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
            _linearRegressionRSquared = Indicators.LinearRegressionRSquared(Bars.ClosePrices, 20);
            _simpleMovingAverage = Indicators.SimpleMovingAverage(_linearRegressionRSquared.Result, 10);
            _exponentialMovingAverage = Indicators.ExponentialMovingAverage(Bars.ClosePrices, 20);
        }
        protected override void OnBar()
        {
            if (Bars.ClosePrices.Last(1) > _exponentialMovingAverage.Result.Last(1) && Bars.ClosePrices.Last(2) <= _exponentialMovingAverage.Result.Last(2))
            {
                ClosePositions(TradeType.Sell);
                if (_linearRegressionRSquared.Result.Last(1) > _simpleMovingAverage.Result.Last(1))
                {
                    ExecuteMarketOrder(TradeType.Buy, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
                }
            }
            else if (Bars.ClosePrices.Last(1) < _exponentialMovingAverage.Result.Last(1) && Bars.ClosePrices.Last(2) >= _exponentialMovingAverage.Result.Last(2))
            {
                ClosePositions(TradeType.Buy);
                if (_linearRegressionRSquared.Result.Last(1) > _simpleMovingAverage.Result.Last(1))
                {
                    ExecuteMarketOrder(TradeType.Sell, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
                }
            }
        }
        private void ClosePositions(TradeType tradeType)
        {
            foreach (var position in BotPositions)
            {
                if (position.TradeType != tradeType) continue;
                ClosePosition(position);
            }
        }
    }
}
Reference