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Standard Error Bands
Source: https://fxcodebase.com/code/viewtopic.php?f=17&t=62102
Forum: 17 · Topic 62102 · 8 post(s)
Standard Error Bands
Apprentice · Sun Apr 12, 2015 5:04 am
Smoothed Linear Regression Line: Generally a 21-period linear regression curve that is smoothed by a 3-period simple moving average Upper Standard Error Band: The linear regression line plus 2 standard errors. Lower Standard Error Band: The linear regression line minus 2 standard errors. Introduced by John Andersen in a September 1996 ‘Stock and Commodities’ magazine artikle.
Re: Standard Error Bands
Alexander.Gettinger · Fri May 22, 2015 9:55 am
MQL4 version of Standard Error Bands indicator: viewtopic.php?f=38&t=62244.
Re: Standard Error Bands
Apprentice · Tue May 24, 2016 2:15 am
Minor Update.
Re: Standard Error Bands
xel_arjona · Tue Jun 07, 2016 4:39 pm
Just for the record, Bands are badly calculated.
Here’s the implementation I made at TradingView’s Pine if you like to re-code it to LUA:
https://www.tradingview.com/script/qQjavJxT-Standard-Error-of-the-Estimate-Composite-Bands/
Basically you need to define 2 functions prior to calculate error which are Alpha and Beta, then define the Standard Error Estimate from the Linear Regression Curve (I like to use TSF)
Code: Select all `beta(array,periods) where n = barindex val1 = sum(narray,periods)-(periodssma(n,periods)sma(array,periods)) val2 = sum(pow(n,2),periods)-(periodspow(sma(n,periods),2)) calcB = val1/val2
alpha(array,periods) => n = barindex calcA = sma(array,periods)-(beta(array,periods)*sma(n,periods))
see(array,periods) // This function must supplant StdDev for band creation with mult factor lr = linearregression(array,periods) // Can be supplanted with TSF val1 = (sum(pow(array,2),periods))-((alpha(array,periods)sum(array,periods)))-((beta(array,periods)sum(n*array,periods))) val2 = periods - 2 eest = sqrt(val1/val2)`
Hope it helps!
Re: Standard Error Bands
Apprentice · Fri Jun 10, 2016 3:03 am
Your request is added to the development list. Bugzilla Bug 3539
Re: Standard Error Bands
Apprentice · Mon Aug 28, 2017 9:30 am
The indicator was revised and updated.
Re: Standard Error Bands
Alexander.Gettinger · Fri Dec 15, 2017 4:57 pm
xel_arjona wrote: Just for the record, Bands are badly calculated.
Here’s the implementation I made at TradingView’s Pine if you like to re-code it to LUA:
https://www.tradingview.com/script/qQjavJxT-Standard-Error-of-the-Estimate-Composite-Bands/
Basically you need to define 2 functions prior to calculate error which are Alpha and Beta, then define the Standard Error Estimate from the Linear Regression Curve (I like to use TSF)
Please, try this version of the indicator:
Re: Standard Error Bands
Apprentice · Wed Jun 20, 2018 6:08 am
The Indicator was revised and updated.