I've printed out your post, Craig, and will get back to you on your
questions.
Meanwhile, I realized that it makes sense to move the starting LR
calc inside the for bar = first to last loop
Code with this change follows. -Bob
-------
input = "80k+vol.lst";
output = "swLR.lst"; //processms ="E:\Meta\swLR",msdata;
integer i, N1, N2, Sx, Sx1, lrflag, bar, first, last;
float pa1, a1, pb1, b1, pLR1, LR1; // p denotes previous val
float pa2, a2, pb2, b2, pLR2, LR2;
float div, Sxx, Sxy, Sy, Sxx1, Sxy1, Sy1;
string lrstr;
first := -10; // Back test
last := 0; // ending bar
N1 := 5; // Set len of short LR here ******************
N2 := 50; // Set len of long LR here ******************
lrflag := 0; // Set to 0 for LRI; 1 for TSF *******
if lrflag != 0 then lrfalg:= 1; endif; // a precaution
if lrflag = 0 then lrstr := "LRI: "; else lrstr := "TSF: "; endif;
Daystoload = 100 + N2; DaysRequired = 100 + N2;
for bar = first to last do // back testing loop
// Nest all overall conditions using builtin indicators before LR, i.e.,
// if HasOptions = True then
// if close(bar) > 5 and close(bar) < 60 then
// if macd(day) > macdsignal(day) then
// if macd(day-1) <=macdsignal(day-1) then
if bar = first then // just the first time!!
Sx := 0; Sxx := 0; Sxy := 0; Sy := 0;
for i = first -1 to first -N1 step -1 do // N1 bars
Sx := Sx + i; Sy := Sy + close(i);
Sxx := Sxx + i*i; Sxy := Sxy + i*close(i);
next i;
Sx1 := Sx; Sy1 := Sy; Sxx1 := Sxx; Sxy1 := Sxy; // save for N1
div := N1*Sxx - Sx*Sx;
pa1 := (Sxx*Sy -Sx*Sxy)/div;
pb1 := (N1*Sxy - Sx*Sy)/div;
pLR1 := pa1 + lrflag*pb1; // 1*pb if TSF
for i = first -N1 -1 to first -N2 step -1 do // N2 total bars
Sx := Sx + i; Sy := Sy + close(i); // keep at it
Sxx := Sxx + i*i; Sxy := Sxy + i*close(i);
next i;
div := N2*Sxx - Sx*Sx;
pa2 := (Sxx*Sy -Sx*Sxy)/div;
pb2 := (N2*Sxy - Sx*Sy)/div;
pLR2 := pa2 + lrflag*pb2; // 1*pb if TSF
endif; // the first time!!
// Stepwise calculation of LR1 and LR2
// Calc LR2
i := bar -N2; // Replace N2 bar with current bar
Sx := Sx +bar -i; Sy := Sy +close(bar) -close(i);
Sxx := Sxx +bar*bar -i*i; Sxy := Sxy +bar*close(bar) -i*close(i);
div := N2*Sxx - Sx*Sx;
a2 := (Sxx*Sy -Sx*Sxy)/div;
b2 := (N2*Sxy - Sx*Sy)/div;
LR2 := a2 + lrflag*b2; // 1*bcalc
// now calc LR1 using the saved values
i := bar -N1; // Replace N1 with current bar
Sx1 := Sx1 +bar -i;
Sy1 := Sy1 +close(bar) -close(i);
Sxx1 := Sxx1 +bar*bar -i*i;
Sxy1 := Sxy1 +bar*close(bar) -i*close(i);
div := N1*Sxx1 - Sx1*Sx1;
a1 := (Sxx1*Sy1 -Sx1*Sxy1)/div;
b1 := (N1*Sxy1 - Sx1*Sy1)/div;
LR1 := a1 + lrflag*b1; // 1*bcalc
if LR1 > LR2 and pLR1 < pLR2 then // only an example
print symbol,",",date(bar),",",a1:7:3,",",pa1:7:3,",",
b1:7:3,",",pb1:7:3,",",lrstr,",",LR1:7:3,",",pLR1:7:3;
println ",",a2:7:3,",",pa2:7:3,",",b2:7:3,",",
pb2:7:3,",",lrstr,",",LR2:7:3,",",pLR2:7:3;
endif;
//endif; endif; endif; endif;
pa1:= a1; pb1:= b1; pLR1:= LR1; pa2:= a2; pb2:= b2; pLR2:= LR2;
next bar;
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