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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.

Signature 

1
public abstract interface LinearRegressionRSquared

Namespace

cAlgo.API.Indicators

Examples

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

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 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);
             }
         }
     }
 }

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class Test():
     def on_start(self):
         # Initialize rSquared indicator
         # Source and Periods are parameters defined in C# file
         self.rSquared = api.Indicators.LinearRegressionRSquared(api.Source, api.Periods)
     def on_tick(self):
         print(self.rSquared.Result.LastValue)

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class LinearRegressionRSquaredSample():
     def on_start(self):
         self.volumeInUnits = api.Symbol.QuantityToVolumeInUnits(api.VolumeInLots)
         self.linearRegressionRSquared = api.Indicators.LinearRegressionRSquared(api.SourceLinearRegression, api.PeriodsLinearRegression);
         self.simpleMovingAverage = api.Indicators.SimpleMovingAverage(self.linearRegressionRSquared.Result, api.PeriodsSimpleMovingAverage);
         self.exponentialMovingAverage = api.Indicators.ExponentialMovingAverage(api.SourceExponentialMovingAverage, api.PeriodsExponentialMovingAverage);
     def on_bar_closed(self):
         if api.Bars.ClosePrices.Last(0) > self.exponentialMovingAverage.Result.Last(0) and api.Bars.ClosePrices.Last(1) <= self.exponentialMovingAverage.Result.Last(1):
             self.close_positions(TradeType.Sell)
             if self.linearRegressionRSquared.Result.Last(0) > self.simpleMovingAverage.Result.Last(0):
                 api.ExecuteMarketOrder(TradeType.Buy, api.SymbolName, self.volumeInUnits, api.Label, api.StopLossInPips, api.TakeProfitInPips)
         elif api.Bars.ClosePrices.Last(0) < self.exponentialMovingAverage.Result.Last(0) and api.Bars.ClosePrices.Last(1) >= self.exponentialMovingAverage.Result.Last(1):
             self.close_positions(TradeType.Buy)
             if self.linearRegressionRSquared.Result.Last(0) > self.simpleMovingAverage.Result.Last(0):
                 api.ExecuteMarketOrder(TradeType.Sell, api.SymbolName, self.volumeInUnits, api.Label, api.StopLossInPips, api.TakeProfitInPips)
     def get_bot_positions(self):
         return api.Positions.FindAll(api.Label)
     def close_positions(self, tradeType):
         for position in self.get_bot_positions():
             if position.TradeType != tradeType:
                 continue
             api.ClosePosition(position)

Properties

Result

Summary

The Result Series of the Linear Regression R Squared indicator.

Signature 

1
public abstract IndicatorDataSeries Result {get;}

Return Value

IndicatorDataSeries

Examples

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 private LinearRegressionRSquared rSquared;
 protected override void OnStart()
 {
     // initialize rSquared indicator
     rSquared = Indicators.LinearRegressionRSquared(Bars.ClosePrices, 9);
 }
 protected override void OnTick()
 {
     // Print the last value of rSquared indicator to the log
     Print("The current value of R Squared is {0}", rSquared.Result.LastValue);
 }

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class Test():
     def on_start(self):
         # Initialize rSquared indicator
         # Source and Periods are parameters defined in C# file
         self.rSquared = api.Indicators.LinearRegressionRSquared(api.Source, api.Periods)
     def on_tick(self):
         # Print the last value of rSquared indicator to the log
         print(f"The current value of R Squared is {self.rSquared.Result.LastValue}")