R squared

[NFT-Trader]

I am having difficulties trying to modify the R-squared indicator such that variable time is replaced with data points of my choice.

The ultimate goal is to be able to perform an R-square calculation on two variables of my choice.

The other option is to somehow incorporate the code below (from another source) into my program. I can do this but my limited programming skills can't figure out when, where and how to add in my variables.

public static void LinearRegression(double[] xVals, double[] yVals,
int inclusiveStart, int exclusiveEnd,
out double rsquared, out double yintercept,
out double slope)
{
Debug.Assert(xVals.Length == yVals.Length);
double sumOfX = 0;
double sumOfY = 0;
double sumOfXSq = 0;
double sumOfYSq = 0;
double ssX = 0;
double ssY = 0;
double sumCodeviates = 0;
double sCo = 0;
double count = exclusiveEnd - inclusiveStart;

for (int ctr = inclusiveStart; ctr < exclusiveEnd; ctr++)
{
double x = xVals[ctr];
double y = yVals[ctr];
sumCodeviates += x * y;
sumOfX += x;
sumOfY += y;
sumOfXSq += x * x;
sumOfYSq += y * y;
}
ssX = sumOfXSq - ((sumOfX * sumOfX) / count);
ssY = sumOfYSq - ((sumOfY * sumOfY) / count);
double RNumerator = (count * sumCodeviates) - (sumOfX * sumOfY);
double RDenom = (count * sumOfXSq - (sumOfX * sumOfX))
* (count * sumOfYSq - (sumOfY * sumOfY));
sCo = sumCodeviates - ((sumOfX * sumOfY) / count);

double meanX = sumOfX / count;
double meanY = sumOfY / count;
double dblR = RNumerator / Math.Sqrt(RDenom);
rsquared = dblR * dblR;
yintercept = meanY - ((sCo / ssX) * meanX);
slope = sCo / ssX;
}

[NinjaTrader_Matthew]

Hi,

I'm not entirely sure which variable you're looking to replace.

However if you'd like some public variables where you can choose as you start the indicator, please see our Reference Sample on User Defined Inputs for further information:

http://www.ninjatrader.com/support/forum/showthread.php?t=5782

[staycool3_a]

Hi,

I'm not entirely sure which variable you're looking to replace.

However if you'd like some public variables where you can choose as you start the indicator, please see our Reference Sample on User Defined Inputs for further information:

http://www.ninjatrader.com/support/f...ead.php?t=5782

Hi was anyone able to do this? i'd like to be able to compare

variable 1: trade logic; sma1 cross above sma2
variable 2: price

In other words, how well did a trade logic explain price. Similar to how in the strategy analyzer you can "optimize" for r2, I'd like to be able to know the r2 of a strategy everyday so I can change my weights of how much funds i'm allocating to that particular strategy.

thanks

[NinjaTrader_PatrickH]

Hello calhawk01,

Thank you for your post.

I would use a strategy to determine this as the indicator's cannot take positions and therefore would not have a means to measure the efficiency of a condition. This means you would use SystemPerformance.AllTrades.TradesPerformance.RSqu ared: https://ninjatrader.com/support/help...s/rsquared.htm

It seems you are discussing this with my colleague already at the following link: https://ninjatrader.com/support/foru...d.php?t=106469

Please let me know if you have any questions.

[staycool3_a]

Hello calhawk01,

Thank you for your post.

I would use a strategy to determine this as the indicator's cannot take positions and therefore would not have a means to measure the efficiency of a condition. This means you would use SystemPerformance.AllTrades.TradesPerformance.RSqu ared: https://ninjatrader.com/support/help...s/rsquared.htm

It seems you are discussing this with my colleague already at the following link: https://ninjatrader.com/support/foru...d.php?t=106469

Please let me know if you have any questions.

Hi Pat, thanks for the response. You're right and that's what I'm doing now. Still waiting on your colleague to provide further details on strategy r2 logic.