Linear Regression Channels Using Standard Deviation or Standard Error

Summary

The document explains how to construct a linear regression channel from closing prices over a configurable lookback window. It computes the regression line by accumulating price and time-index sums, then draws the fitted line between the oldest and newest bars. The channel’s upper and lower boundaries are parallel offsets from that line. The offset can use either standard deviation or standard error, scaled by a configurable multiplier. The example defaults to a 200-bar window and a multiplier of one. It also includes a denominator check intended to avoid invalid slope calculations. The document provides implementation details, but no trading rules, performance results, or guidance for interpreting channel touches. It does not explain the precise built-in indicator definitions used for the deviation measures, so those platform-specific details may affect replication.

Key ideas

• A linear regression line is fitted to closing prices across a configurable lookback window.
• The channel boundaries are parallel offsets from the fitted line.
• The offset can be based on standard deviation or standard error.
• A multiplier controls the channel width.
• The document describes indicator construction but does not establish a trading strategy or report performance.

Tags

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