GKYZ-Filtered, Non-Linear Regression MA [Loxx]

Sep 27, 2022

GKYZ-Filtered, Non-Linear Regression MA [Loxx] is a Non-Linear Regression of price moving average. Use this as you would any other moving average. This also includes a Garman-Klass-Yang-Zhang Historical Volatility Filter to reduce noise.

What is Non-Linear Regression?
In statistics, nonlinear regression is a form of regression analysis in which observational data are modeled by a function which is a nonlinear combination of the model parameters and depends on one or more independent variables. The data are fitted by a method of successive approximations.

What is Garman-Klass-Yang-Zhang Historical Volatility?
Yang and Zhang derived an extension to the Garman Klass historical volatility estimator that allows for opening jumps. It assumes Brownian motion with zero drift. This is currently the preferred version of open-high-low-close volatility estimator for zero drift and has an efficiency of 8 times the classic close-to-close estimator. Note that when the drift is nonzero, but instead relative large to the volatility , this estimator will tend to overestimate the volatility . The Garman-Klass-Yang-Zhang Historical Volatility calculation is as follows:

GKYZHV = sqrt((Z/n) * sum((log(open(k)/close( k-1 )))^2 + (0.5*(log(high(k)/low(k)))^2) - (2*log(2) - 1)*(log(close(k)/open(2:end)))^2))

Included

• Alerts
  
• Signals
  
• Loxx's Expanded Source Types
  
• Bar coloring