Linear regression line (apply to)

ÿþ//--------------------------------------------------------------------------------------------------------------

#property copyright   "© mladen, 2024"

#property link        "mladenfx@gmail.com"

//--------------------------------------------------------------------------------------------------------------

#property indicator_chart_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "Linear regression line"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrMediumSeaGreen,clrDarkOrange

#property indicator_width1  2



//

//

//



input int                inpPeriod = 100;   // Period



//--------------------------------------------------------------------------------------------------------------

//

//--------------------------------------------------------------------------------------------------------------

//

//

//



double val[],valColor[];



//--------------------------------------------------------------------------------------------------------------

//

//--------------------------------------------------------------------------------------------------------------

//

//

//



int OnInit()

{

   SetIndexBuffer(0,val     ,INDICATOR_DATA);

   SetIndexBuffer(1,valColor,INDICATOR_COLOR_INDEX);

   

      //

      //

      //



   IndicatorSetString(INDICATOR_SHORTNAME,StringFormat("LR slope (%i)",inpPeriod)); 

   return(INIT_SUCCEEDED);

}



//--------------------------------------------------------------------------------------------------------------

//

//--------------------------------------------------------------------------------------------------------------

//

//

//



int  OnCalculate(const int     rates_total,

                 const int     prev_calculated,

                 const int     begin,

                 const double& price[])

{ 

   int limit = (prev_calculated>0) ? prev_calculated-1 : 0;

   

   //

   //

   //



   double _slope     = 0;

   double _intercept = 0;;

      for (int i=limit; i<rates_total && !_StopFlag; i++)

         {

            double _price = (price[i]!=EMPTY_VALUE) ? price[i] : 0;

            double _lrValue = iLinearRegression(_price,inpPeriod,_slope,_intercept,i,rates_total);

         }

      for (int i=0; i<inpPeriod && !_StopFlag; i++) 

         {

            val[rates_total-i-1]      = _intercept + _slope*(inpPeriod-i-1);

            valColor[rates_total-i-1] = (_slope>0) ? 1 : (_slope<0) ? 2 : 0;

         }



   //

   //

   //

         

   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,rates_total-inpPeriod);      

   return(rates_total);

}



//--------------------------------------------------------------------------------------------------------------

//

//--------------------------------------------------------------------------------------------------------------

//

//

//



double iLinearRegression(double value, int period, double& _slope, double& _intercept, int r, int bars)

{

  struct sWorkStruct

      {

            struct sDataStruct

                  {

                        double value;

                        double sumY;

                        double sumXY;

                  };

            sDataStruct data[];

            int         dataSize;

            int         period;

            double      sumX;

            double      sumXX;

            double      divisor;

            

            //

            //

            //

                           

            sWorkStruct() : dataSize(-1), period(-1) { }

      };

   static sWorkStruct m_work;

                  if (m_work.dataSize <= bars) m_work.dataSize = ArrayResize(m_work.data,bars+500,2000);

                  

                  if (period<1) period = 1;

                  if (m_work.period != (int)period)

                        {

                           m_work.period  = (int)period;

                           m_work.sumX    = m_work.period * (m_work.period-1.0) / 2.0;

                           m_work.sumXX   = m_work.period * (m_work.period-1.0) * (2.0 * m_work.period - 1.0) / 6.0;

                           m_work.divisor = m_work.sumX * m_work.sumX - m_work.period * m_work.sumXX;

                              if (m_work.divisor) 

                                  m_work.divisor = 1.0/m_work.divisor;

                        }



      //

      //---

      //



         m_work.data[r].value = value;

         

            //

            //

            //

            

            if (r>=m_work.period)

                  {

                        m_work.data[r].sumY  = m_work.data[r-1].sumY  + value               - m_work.data[r-m_work.period].value;

                        m_work.data[r].sumXY = m_work.data[r-1].sumXY + m_work.data[r].sumY - m_work.data[r-m_work.period].value*(m_work.period-1.0) - value;

                  }

            else

                  {

                        m_work.data[r].sumY  = value;

                        m_work.data[r].sumXY = 0;



                           //

                           //

                           //

                           

                           for (int k=1; k<m_work.period && r>=k; k++)

                                 {

                                       m_work.data[r].sumY  +=   m_work.data[r-k].value;

                                       m_work.data[r].sumXY += k*m_work.data[r-k].value;

                                 }

                  }

         

         _slope     = (m_work.period*m_work.data[r].sumXY - m_work.sumX * m_work.data[r].sumY) * m_work.divisor;

         _intercept = (m_work.data[r].sumY - _slope * m_work.sumX) / (double)m_work.period ;

   

   //

   //

   //



   return(_intercept  + _slope*(m_work.period-1.0));

}