Regression Channel

Enhanced Linear Regression Channel

NinjaTrader 8 comes with a standard version of the Regression Channel. The library version includes the option of calculating the last bar plotted on the chart, display of regression bands, trend definition and normalized values for the channel slope and width.

Indicator Description

Limitations of the Standard Version:

The default NinjaTrader Linear Regression Channel indicator comes with the following limitations:

  • The default indicator calculates from the last bar loaded by OnBarUpdate(). When the chart scrolled back horizontally, the channel remains in its future position until it drops out of the chart.
  • The default indicator does not allow for calculating the linear regression channel a few bars ago and then project the channel lines forward until the current bar.

Improvements in the Library Version:

This LizardIndicators version addresses the issues as follows:

  • The regression channel is calculated from the last bar shown on the chart and will adapt its position accordingly when you scroll back the chart horizontally.
  • You may enter an offset and calculate the channel a few bars ago. The channel will then be extended until the last bar shown on the chart.
  • Regression bands that trace the regression channel at the time of calculation (current price N bars ago). These values (middle, upper, lower) can be used for automated trading strategies.

Repainting behavior:

All regression channels – whether linear or polynomial – belong to the class of repainting indicators. Specifically, regression channels are retrofitted to the selected lookback period. The repainting can be easily observed with this indicator when scrolling horizontally. This indicator comes with an option to show the trace that the channel has plotted on the chart without repainting any prior bars. These values (middle, upper, lower) can be used for automated trading strategies.

Public DataSeries:

The indicator comes with five additional public DataSeries that can be accessed via the strategy builder:

  • SlopeSeries
  • StdDeviationSeries
  • NormalizedSlope
  • NormalizedChannelWidth
  • RegressionTrend

SlopeSeries: Indicates the current slope of the regression line (rise over run) and measuring the trend strength.

StdDeviationSeries: Indicates the current residual standard deviation, which is a measure of the quality of the trend (width of the channel)

Normalized slope: This is an output which returns the slope in synthetic degrees. The slope has been normalized by dividing it by the square root of the average true range and then applying the arctangent.

NormalizedChannelWidth: This series returns the normalized channel width around the regression line and may be used as a measure of non-directional volatility.

RegressionTrend: The regression trend holds the value + 1 for an up-sloping regression line and -1 for a down-sloping regression line.

Market Analyzer Columns: The indicator comes with three separately coded market analyzer columns. They allow for displaying normalized slope, normalized channel width and the regression trend on the market analyzer.

Other Library indicators

The library also has a the standard a Daily Regression Channel. Both version can be used to identify trend entries with setups from momentum oscillator or volatility / range breakout indicators. You may for example consider the the Laguerre RSI, the Projection Oscillator, the Multiple MACD or the new and improved version of the RSI . Furthermore, we also have a category for volatility indicators, with among others the Projection Bandwidth and the Squeeze Momentum indicator. In our Indicator Spotlight we have additional information on Squeeze setups, trading approaches for using the Donchian Channel and the Traders Dynamic Index.

The Indicator Spotlight also has further details on how to apply the Regression Channel and validating setups using Relative Volume.

Finally, managing open profits may be done by using the ATR Trailing Stop, as explained in here. Other trailing stop indicators are available from the Trailing Stops category.

The indicator is available for NinjaTrader 8.