Research method
Linear regression
Linear regression is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The graph8
How the method is built, and where it has been read
Depends on
Often reviewed together
Alpha coefficient4 readings
Often reviewed together
Moving-average crossover5 readings
Often reviewed together
Trendline6 readings
Often reviewed together
Exponential smoothing7 readings
Often reviewed together
Price channel7 readings
Often reviewed together
Bollinger Bands7 readings
Often reviewed together
Correlation analysis8 readings
Often reviewed together
Walk-forward analysis9 readings
Read in the archive7 readings
1995Market z-score residuals for style pair construction2003Zigzag target zones from a normalized deviation oscillator2004Construct a mechanical rank for triangular formations2006Linear forecast versus buy-and-hold when price changes cluster2010Treat a market as a transfer device before completing a price path2011Linear regression overlays on volume-flow primaries2012Construct a pairs-trading worksheet from residuals and quantile ranks
This registry entry describes a research method. It is not investment advice and does not make a performance claim.