Anchored Regression Channels for Event-Based Trend Analysis

Summary

This document explains an indicator that fits a linear regression channel from a user-selected date and time through the latest chart bar. It calculates the regression slope and intercept from closing prices, then estimates channel width using the standard deviation of the residuals. A multiplier sets the distance of the upper and lower bands from the regression line, and the indicator can project the channel forward by a configured number of bars.

The method is intended to study a trend from a specific market event, turning point, or calendar date without choosing a rolling lookback length. The document describes how to set the anchor and band multiplier and provides an implementation for ProRealTime. It suggests interpreting changing band width as a view of volatility expansion or contraction. It gives no empirical tests or evidence that the channel predicts returns or identifies reliable entry signals. Results depend on the selected anchor, chart timestamps, price series, and projection settings; the bands describe historical regression residuals rather than guaranteed future ranges.

Key ideas

• The indicator fits a linear regression from a specified chart date and time to the latest bar.
• Upper and lower bands are set using the standard deviation of closing-price residuals and a user-selected multiplier.
• As new bars arrive, the fitted slope, intercept, and residual dispersion are recalculated over the expanding sample.
• The channel can provide historical context from an event or turning point, but the document offers no predictive validation.
• The chosen anchor and chart time convention affect the resulting channel.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.