OPEN-SOURCE SCRIPT
Forecasting - Locally Weighted Regression
This is a continuation of the series on forecasting techniques.
Locally weighted linear regression is a non-parametric algorithm, that is, the model does not learn a fixed set of parameters as is done in ordinary linear regression. Rather parameters Θ (theta) are computed individually for each query point x. While computing Θ, a higher “preference” is given to the points in the training set lying in the vicinity of x than the points lying far away from x.
For a detailed discussion see geeksforgeeks.org/ml-locally-weighted-linear-regression/
and for the formula see fawda123.github.io/swmp_workshop_2016/training_modules/module2_wrtds/wrtds.pdf.
Here you can see a shortcut application of this technique to time series with results unexpectedly favorable for price data labelling.
Good at detecting pullbacks. Can be incorporated into a trading system as a signal generator. Alerting is included.
Locally weighted linear regression is a non-parametric algorithm, that is, the model does not learn a fixed set of parameters as is done in ordinary linear regression. Rather parameters Θ (theta) are computed individually for each query point x. While computing Θ, a higher “preference” is given to the points in the training set lying in the vicinity of x than the points lying far away from x.
For a detailed discussion see geeksforgeeks.org/ml-locally-weighted-linear-regression/
and for the formula see fawda123.github.io/swmp_workshop_2016/training_modules/module2_wrtds/wrtds.pdf.
Here you can see a shortcut application of this technique to time series with results unexpectedly favorable for price data labelling.
Good at detecting pullbacks. Can be incorporated into a trading system as a signal generator. Alerting is included.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.