Skip to main content
Track Linear regression
38 / 43
Search the archiveLibrary
Library

2010issue C0971-83

A two-state swing machine from four running extremes

Swing-state stays up or down from four running extremes and flips only on a completed range-clear. The mechanical procedure then uses a next-bar-market-entry so the always-in-reversal can be tested as one rule-based-entry. Editorial note: a linear-regression-baseline on the same series is a forecast comparison, not part of the flip rule.

  • Swing-state stays up until a completed high falls below the running highest low, and stays down until a completed low rises above the running lowest high.
  • While swing-state is up the mechanical procedure buys the next bar at market; while it is down the procedure sells short the next bar at market.
  • A close-only reconstruction exposes no user parameters and refreshes the four running extremes when a new bar starts; raising pivot-strength above 2 lengthens swings past a one-bar pivot.
  • The same flip rules were shown as bar coloring, an UP versus DN status list, a price-and-volume status scan, and a nested switch after a 10-bar highest low or 10-bar lowest high is cleared.
Entries in this reading3 entries
Current trackLinear regression112 readingsMechanical trading system158 readingsRule-based entry174 readings

Swing-state from four running extremes

Swing-state is a binary label. It stays up until a completed high falls below the running highest low. It stays down until a completed low rises above the running lowest high.

The live reference level is the swing-line: the highest low during an upswing, or the lowest high during a downswing. A range-clear is the completed bar whose high falls below the highest low, or whose low rises above the lowest high, and thereby flips swing-state.

Daily GE swing line, October 2008 to January 2009

On daily General Electric the swing line stays down through the October–November 2008 washout, flips up off the November low, then flips down and up again into the new year. Falling stretches are the down-state lowest high; rising stretches are the up-state highest low. Levels were read from the AmiBroker screenshot, including the last printed swing-line value of 15.51 against a 15.25 close.
On daily General Electric the swing line stays down through the October–November 2008 washout, flips up off the November low, then flips down and up again into the new year. Falling stretches are the down-state lowest high; rising stretches are the up-state highest low. Levels were read from the AmiBroker screenshot, including the last printed swing-line value of 15.51 against a 15.25 close.GE · daily · 2008-10-01T00:00:00.000Z to 2009-01-16T00:00:00.000Z

The screenshot plots only the active extreme, so the line is gapped at each state flip. Companion code enters next bar at market because a session high and low are unknown until that bar closes.

Always-in-reversal and next-bar-market-entry

While swing-state is up, the mechanical procedure buys the next bar at market. While swing-state is down, the procedure sells short the next bar at market. That pairing is the always-in-reversal.

The order is a next-bar-market-entry because the triggering extreme is known only once the bar that created the range-clear has closed. The rule-based-entry fires only when the published clear condition is met, so entry, exit, and abstention stay inside one procedure.

One daily illustration delays the entry until the second bar after the swing-line is cleared, because that session extreme is known only after the close.

A close-only reconstruction and pivot-strength

One close-only reconstruction exposes no user parameters. It refreshes the four running extremes when a new bar starts.

The original construction uses a one-bar pivot. Raising an added pivot-strength input above 2 lengthens swings past that one-bar definition.

The same flip rules without a drawn line

A status scan kept names above a 10-dollar price and a one-million-share average daily volume, then labeled each survivor as an upswing or a downswing.

The same flip rules were also shown as bar coloring and as an UP versus DN status list that does not draw a line. One nested formula keeps the prior swing level and switches only after a 10-bar highest low or a 10-bar lowest high is cleared.

Lower-interval clears and higher-interval direction

A construction note suggests taking lower-interval clear entries only when they agree with the higher-interval swing direction.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
38 of 43 in the Linear regression track
20168-9 pp.Next on Linear regressionScore oil-complex tightness before divergence or regressionRank the Canadian dollar, a large domestic producer, an oil-service basket, and crude in a correlation matrix before assigning divergence or regression.
All readings on this track · 43 readings
  1. 1990Constructing dollar baselines from rates, inflation, and residuals
  2. 1990Constructing a nominal index value from forward earnings and fitted yield
  3. 1990Constructing a nominal index price from earnings and a fitted yield
  4. 1990Endpoint-pinned price paths are not forecasts
  5. 1990Constructing least-squares polynomial smoothers
  6. 1991Endpoint growth rates versus linear-regression consistency
  7. 1991Out-of-sample checks for linear growth fits
  8. 1991Trend as persistence, not a straight line
  9. 1991Quadratic trend, residual oscillator, and a secondary cycle calendar
  10. 1991Time-origin offset and residual-price divergence on a quadratic least-squares fit
  11. 1991A least-squares trendline from ordered prices
  12. 1992Constructing log-linear growth and reliability screens
  13. 1992Constructing log-linear growth-rate baselines
  14. 1992Next-session high, low, and close from rolling linear regression
  15. 1993Auditing an index price-earnings multiple with short-rate regression
  16. 1994Regression-seeded nested exponential price filter
  17. 1994Constructing the double exponential average from lag cancellation
  18. 1994Evaluating money supply as a linear leading-index baseline
  19. 1995Constructing least-squares trend channels
  20. 1995Linear baseline holdout checks for annual bill-rate forecasts
  21. 1995Projection bands from high and low regression slopes
  22. 1995Evaluating a least-squares end-point moving average on a known test series
  23. 1996Constructing an endpoint moving average from a least-squares line
  24. 1996Scoring equity path consistency with a k-ratio overlay
  25. 1996Evaluating month-end yield gaps for equity regimes
  26. 1996Constructing session-indexed standard error bands
  27. 1998Evaluating linear regression baselines for index valuation
  28. 1998R-squared as a two-state trend filter from a price-time fit
  29. 2000Second-order moving-average lag correction
  30. 2002Price regression line versus beta for index tracking
  31. 2003Regression slope with an r-squared trend confidence gate
  32. 2003Constructing finite-volume-element divergence with slope comparison
  33. 2004Building a daily score from regression, retracement, and volume
  34. 2004Constructing least-squares trendlines from ordered prices
  35. 2007Rectangle breakout targets beyond height
  36. 2007Confirming a price trend with regression slope and r-squared
  37. 2008A linear-regression angle assembled as one trend filter
  38. 2010A two-state swing machine from four running extremes
  39. 2016Score oil-complex tightness before divergence or regression
  40. 2017Nikkei-yen intermarket divergence as a regime case study
  41. 2017Constructing Calmar ratio and linear regression baselines
  42. 2019Pair-trade layer construction versus average-spread management
  43. 2020A convolution slope built from nested linear regression
By fieldEntry and exit rules206 readingsBy year201075 readings
All 112 readings tagged Linear regression
Also on Linear regression5 readings
1996Dual-horizon ratio envelopes and regression error channels1999Walk-forward evaluation of a polynomial price forecast2006Linear forecast versus buy-and-hold when price changes cluster1991Quadratic trend, residual oscillator, and a secondary cycle calendar1989Same-session exits from multi-day open-close codesMechanical trading system