OPEN-SOURCE SCRIPT
Updated Linear Regression Forecast
Description:
This indicator computes a series of simple linear regressions anchored at the current bar, using look-back windows from 2 bars up to the user-defined maximum. Each regression line is projected forward by the same number of bars as its look-back, producing a family of forecast endpoints. These endpoints are then connected into a continuous polyline: ascending segments are drawn in green, and descending segments in red.
Inputs:
maxLength – Maximum number of bars to include in the longest regression (minimum 2)
priceSource – Price series used for regression (for example, close, open, high, low)
lineWidth – Width of each line segment
Calculation:
For each window size N (from 2 to maxLength):
• Compute least-squares slope and intercept over the N most recent bars (with bar 0 = current bar, bar 1 = one bar ago, etc.).
• Project the regression line to bar_index + N to obtain the forecast price.
Collected forecast points are sorted by projection horizon and then joined:
• First segment: current bar’s price → first forecast point
• Subsequent segments: each forecast point → next forecast point
Segment colors reflect slope direction: green for non-negative, red for negative.
Usage:
Apply this overlay to any price chart. Adjust maxLength to control the depth and reach of the forecast fan. Observe how shorter windows produce nearer-term, more reactive projections, while longer windows yield smoother, more conservative forecasts. Use the colored segments to gauge the overall bias of the fan at each step.
Limitations:
This tool is for informational and educational purposes only. It relies on linear regression assumptions and past price behavior; it does not guarantee future performance. Users should combine it with other technical or fundamental analyses and risk management practices.
This indicator computes a series of simple linear regressions anchored at the current bar, using look-back windows from 2 bars up to the user-defined maximum. Each regression line is projected forward by the same number of bars as its look-back, producing a family of forecast endpoints. These endpoints are then connected into a continuous polyline: ascending segments are drawn in green, and descending segments in red.
Inputs:
maxLength – Maximum number of bars to include in the longest regression (minimum 2)
priceSource – Price series used for regression (for example, close, open, high, low)
lineWidth – Width of each line segment
Calculation:
For each window size N (from 2 to maxLength):
• Compute least-squares slope and intercept over the N most recent bars (with bar 0 = current bar, bar 1 = one bar ago, etc.).
• Project the regression line to bar_index + N to obtain the forecast price.
Collected forecast points are sorted by projection horizon and then joined:
• First segment: current bar’s price → first forecast point
• Subsequent segments: each forecast point → next forecast point
Segment colors reflect slope direction: green for non-negative, red for negative.
Usage:
Apply this overlay to any price chart. Adjust maxLength to control the depth and reach of the forecast fan. Observe how shorter windows produce nearer-term, more reactive projections, while longer windows yield smoother, more conservative forecasts. Use the colored segments to gauge the overall bias of the fan at each step.
Limitations:
This tool is for informational and educational purposes only. It relies on linear regression assumptions and past price behavior; it does not guarantee future performance. Users should combine it with other technical or fundamental analyses and risk management practices.
Release Notes
flipOpen-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.