/*********************************Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009. All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes only and may be modified and saved under a new file name. eSignal is not responsible for the functionality once modified. eSignal reserves the right to modify and overwrite this EFS file with each new release.Description: Time Series Forecast (TSF) Version: 1.0 05/12/2009 Formula Parameters: Default: nLength 5 nBarPlus 7Notes: This technical indicator is based on linear regression analysis. The value of TSF for each bar is based on a regression analysis of the preceding N bars. N is called the regression period in the setup window for TSF. The user specifies a forecast period F. F is used to derive a predicted (forecasted) price value F periods in the future based on the slope of the regression line for the preceding N periods.**********************************/var fpArray = new Array();var bInit = false;function preMain() { setPriceStudy(true); setStudyTitle("Time Series Forecast"); setCursorLabelName("TSF"); var x = 0; fpArray[x] = new FunctionParameter("nLength", FunctionParameter.NUMBER); with(fpArray[x++]) { setLowerLimit(1); setDefault(5); } fpArray[x] = new FunctionParameter("nBarPlus", FunctionParameter.NUMBER); with(fpArray[x++]) { setLowerLimit(1); setDefault(7); } }var xTimeSeriesForecast = null;function main(nLength, nBarPlus) {var nBarState = getBarState();var nTimeSeriesForecast = 0; if (nBarState == BARSTATE_ALLBARS) { if (nLength == null) nLength = nLength; if (nBarPlus == null) nLength = nBarPlus; } if (bInit == false) { xTimeSeriesForecast = efsInternal("Calc_TSF", nLength, nBarPlus); bInit = true; } nTimeSeriesForecast = xTimeSeriesForecast.getValue(0); if (nTimeSeriesForecast == null) return; return nTimeSeriesForecast;}var xClose = null;var bSecondInit = false;function Calc_TSF(nLength, nBarPlus) {var SL = 0;var TSF = 0;var SumBars = nLength * (nLength - 1) * 0.5;var SumSqrBars = (nLength - 1) * nLength * (2 * nLength - 1) / 6;var Sum1 = 0;var SumY = 0;var i = 0;var Slope = 0;var Intercept = 0; if (getCurrentBarCount() <= nLength) return; if(bSecondInit == false){ xClose = close(); bSecondInit = true; } for (i = 0; i < nLength; i++) { Sum1 += i * xClose.getValue(-i); SumY += xClose.getValue(-i); } var Sum2 = SumBars * SumY; var Num1 = nLength * Sum1 - Sum2; var Num2 = SumBars * SumBars - nLength * SumSqrBars; if (Num2 == 0) return; Slope = Num1 / Num2; SL = Num1 / Num2; Intercept = (SumY - Slope * SumBars) / nLength; TSF = Intercept + Slope * (nLength - 1 - nBarPlus); return TSF;} |
