Slope and linear regression

Slope of the best fit line is determined by an ordinary least-squares simple linear regression on price. It can be used to help identify trend strength and direction. [Discuss] 💬

// C# usage syntax
IReadOnlyList<SlopeResult> results =
  bars.ToSlope(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) for the linear regression. Must be greater than 1.

Historical price bars requirements

You must have at least N periods of bars to cover the warmup periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<SlopeResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null values for Slope since there's not enough data to calculate.
• Line values are only provided for the last N periods of your bar history

️🖌️ Repaint warning

The Line is continuously repainted since it is based on the last bar and lookback period.

SlopeResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Slope	double	Slope 𝑚 of the best-fit line of price
Intercept	double	Y-intercept 𝑏 of the best-fit line
StdDev	double	Standard deviation of price over N lookback periods
RSquared	double	R-squared (R²), aka Coefficient of determination
Line	decimal	Best-fit line 𝑦 over the last N periods (i.e. 𝑦=𝑚𝑥+𝑏 using last period values)

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = bars
    .ToEma(..)
    .ToSlope(..);

Results can be further processed on Slope with additional chain-enabled indicators.

// example
var results = bars
    .ToSlope(..)
    .ToRsi(..);

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

SlopeList slopeList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  slopeList.Add(bar);
}

// based on `ICollection<SlopeResult>`
IReadOnlyList<SlopeResult> results = slopeList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
SlopeHub observer = barHub.ToSlopeHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<SlopeResult> results = observer.Results;

️🖌️ Repaint warning

The streaming implementation exhibits the same repaint behavior as the series version. Line values are recalculated for the last N periods as new data arrives, matching the series implementation's behavior.

See Buffer lists and Stream hubs for full usage guides.