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I am currently working on model where I am using 21 period moving regression line and RSI to gauge trading opportunity. I am more interested in enhancing this using rest of regression parameter such as regression angle, regression slope etc.

I need a help on this parameter and how to use them efficiently. Can anyone provide some ideas, references or link to any material?

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Do you have any results you can share from your own work so far? – chrisaycock♦ Sep 1 '12 at 2:37
generally you make an estimation in your regression parameters, since it will be very difficult to get an exact answer and no one will share a winning strategy or method – pyCthon Sep 1 '12 at 5:00

closed as not a real question by Ryogi, John, David Nehme, Louis Marascio, chrisaycock♦ Sep 3 '12 at 9:05

It's difficult to tell what is being asked here. This question is ambiguous, vague, incomplete, overly broad, or rhetorical and cannot be reasonably answered in its current form. For help clarifying this question so that it can be reopened, see the FAQ.

1 Answer

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I would suggest you to divide the time-periods in 4 ranges (TP_1, ...TP_4) where the time could be considered constant, do low-sample statistics on the 5 data points (or more) you have per period TP_i (you could do bootstrapping to get the regression parameters starting with 5 data points) and do try to get the time variation of your regression parameters from the four data points.

If you have more data than 21 points, better it is.

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