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Momentum Indicator using Linear regression help
Danny Garnett
posted Oct 31, 2016

Hi,

I'm new to python and trying to code a squeeze momentum indicator. When I try to use the linear regression function it throws an error.

This is the formula I'm trying to emulate into python. I've commented out the code that is erroring so I can attach the backtest.

Forumla I want to use: 

val = linreg(source  -  avg(avg(highest(high, lengthKC), lowest(low, lengthKC)),sma(close,lengthKC)),  
            lengthKC,0)

My version: 

val2 =  stats.linregress(hist['close'][-1] - ((((hist['high'].max() + hist['low'].min()) / 2) + hist['close'].mean() ) / 2), lengthKC)

I'm sure I'm just not understanding what im doing.

Thanks
-Danny

1 response
Lionel Ouaknin
Oct 31, 2016

Hi Danny,

Most newcomers don't realize that you can actually debug your code execution. Just double-click on the line number and you can evaluate expressions in debug mode:

when you do:

hist['close'][-1] - ((((hist['high'].max() + hist['low'].min()) / 2) + hist['close'].mean() ) / 2)
-->float64: 3.128775
your expression is a float whereas linegress expects an array like structure:

scipy.stats.linregress(x, y=None)

Calculate a linear least-squares regression for two sets of measurements.
Parameters:
x, y : array_like
Two sets of measurements. Both arrays should have the same length. If only x is given (and y=None), then it must be a two-dimensional array where one dimension has length 2. The two sets of measurements are then found by splitting the array along the length-2 dimension.

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