Abbreviation: LinTimeReg rsqrd
Category: Regression
Input Parameters:
| Name | Range | Default |
| Time Series | Close | |
| Regression Periods | Int >= 3 | 10 |
Calculation:
LinTimeReg r(X, n) * LinTimeReg r(X, n)
where
X = Time Series
n = Regression Periods
LinTimeReg r represents Linear Time Regression: Coefficient of Correlation (r)
Discussion:
Computes the coefficient of determination (r squared) for the linear regression line. Statistically the coefficient of determination is simply the ratio of the explained variation to the total variation. In simpler terms, the coefficient of determination is simply the ratio of the variation between the regression line time series value and the time series mean to the variation of each time series value to the time series mean. Note that the coefficient of determination is simply the square of the coefficient of correlation.