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You can't calculate an actual/real angle with the sine function with discrete market data.

I need a substitute value for inputs that require an angle value.

If you're only calculating the angle between two adjacent bars, is it possible to use the distance formula as a proxy (x=1)?

Distance between two points:

c = SquareRoot((Xa-Xb)^2 + (Ya-Yb)^2);

c =distance

X=interval (time) = 1

Y=price

Distance between two points

http://www.mathsisfun.com/algebra/distance-2-points.html

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  • $\begingroup$ What are you trying to measure? $\endgroup$ – chrisaycock Nov 19 '12 at 15:46
  • $\begingroup$ @chrisaycock Time based financial calculation that requires a slope calculation are suspect. I'm looking for a stable/robust representation for the slope component of the slope-intercept form. Angle calculations using market data are nefarious to work with, as market compression rescales nonlinear. I'm working with the Hurst exponent, it utilizes the slope-intercept form to characterize the market. $\endgroup$ – montyhall Nov 19 '12 at 17:48
  • $\begingroup$ @chrisaycock I need a function that will capture the estimation of the Hurst exponent without using the linear regression slope calculation. $\endgroup$ – montyhall Nov 19 '12 at 22:44
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You don't compute angle between points, but between vectors. If you want a proxy for a cos of the angle between vectors (x1, y1), (x2, y2), take their dot product x1 * x2 + y1 * y2. This has nothing to do with quantitative finance.

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  • $\begingroup$ tks, and I was thinking that this might be the wrong forum for this Q. I don't see that I have control over deleting my post. $\endgroup$ – montyhall Nov 19 '12 at 17:49

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