Width: Multiplicative factor of the model RMSE. Controls the width of the polynomial regression's channels
Timeframe: Fits the polynomial regression using data within the selected timeframe interval
Show fit for new bars: If selected, will fit the regression model for newly generated bars, else the previous fitted value is displayed.
Src: Input source
Usage
Segmented (or piecewise) models yield multiple fits by first partitioning the data into multiple intervals from specific partitioning conditions. In this script this partitioning condition is for a user selected timeframe to change.
Segmented models can be particularly pertinent for market prices, which often describes a series of local trends.
Segmented polynomial regressions can describe the nature of underlying trends in the price from their fit, such as if an underlying trend is more linear (trending) or constant (ranging), and if a trend is monotonic.
The above chart shows a monthly partitioning on SPX 15m, using a polynomial regression of degree 3. Channel extremities allows highlighting local tops/bottoms.
For real time applications users can choose to fit a current model to incoming price data using the Show fit for new bars settings.
Details
The script does not make use of
line.new
to display the segmented linear regressions, which allows showing a higher number of historical fits. Each channel extremity as well as the model fit is displayed from the plot function, as such user can more easily set alerts on them.
It is important to note that achieving this requires accessing future price data, as such this script is subject to lookahead bias, historical results differ from the results one could have obtained in real-time.
Very interesting .... however, I noticed that it is repainting all the time (I tried on smaller TF's) .... Is there a way to fix it? I appreciate it.... Thanks
kolopolo253
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paint
juiida
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does it repaint??
Yidu_A_S_O_T_L_J_C
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@juiida, Yes i think it does. Doesn't necessarily mean it's a bad thing. If you want to change that check if the source of the security request is a real time bar, if it's real time call the previous src in this case close[1] and set lookahead off - lookahead is still misleading.
Is there a way to fix it? I appreciate it.... Thanks