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DETREND=PRICES+LINREG #481263
08/19/20 17:01
08/19/20 17:01
Joined: Jul 2017
Posts: 784
Z
Zheka Offline OP
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Zheka  Offline OP
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Z

Joined: Jul 2017
Posts: 784
Even though the manual states that with DETREND= PRICES the prices are "corrected by the average price slope", it does look like "end-point flattening" is actually used (plotting corrected prices shows that).

Would be great to be able to detrend by a linear regression.

Re: DETREND=PRICES+LINREG [Re: Zheka] #481272
08/21/20 09:40
08/21/20 09:40
Joined: Jul 2000
Posts: 27,982
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jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,982
Frankfurt
What is end-point flattening?

Re: DETREND=PRICES+LINREG [Re: jcl] #481273
08/21/20 09:43
08/21/20 09:43
Joined: Jul 2017
Posts: 784
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Zheka Offline OP
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Zheka  Offline OP
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Turning the curve so that the starting point and ending points are equal.

Re: DETREND=PRICES+LINREG [Re: Zheka] #481275
08/21/20 09:52
08/21/20 09:52
Joined: Jul 2000
Posts: 27,982
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,982
Frankfurt
So you don't want them to be equal?

Re: DETREND=PRICES+LINREG [Re: Zheka] #481276
08/21/20 09:58
08/21/20 09:58
Joined: Jul 2017
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Zheka Offline OP
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Zheka  Offline OP
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I do not want detrending to depend on a single (ending) data point.
I want to have an option to detrend based on an linear regression line - which seems a more robust approach.

Re: DETREND=PRICES+LINREG [Re: Zheka] #481279
08/21/20 10:54
08/21/20 10:54
Joined: Jul 2000
Posts: 27,982
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jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,982
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Thanks, understood.


Moderated by  Petra 

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