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YKL Regressao Linear

Indicador Regressão Linear – Par de Ativos

Indicador é um oscilador que faz o plot do Resíduo resultado da regressão linear entre os dois ativos inseridos como input do indicador, representado pela fórmula:

Y = aX + b + R

Onde Y é o valor do ativo dependente, X é o valor do ativo independente, a é a inclinação da reta entre os dois ativos, b é a intersecção da reta e R é o resíduo.

O resíduo representa a quantidade da variabilidade que Y que o modelo ajustado não consegue explicar. E os resíduos podem ser calculados com a seguinte fórmula:

Resíduo = Y-Yˆ

Onde Y é o valor real e Y^ é o valor calculado pelo modelo baseado na cointegração entre os dois ativos.

Inputs do indicador:

·         Símbolo Dependente: Ativo dependente (Y)

·         Símbolo Independente: Ativo independente (X)

·         Barras de regressão: número de dias para que seja feita a regressão linear entre os dois ativos

Indicador está otimizado para o par de ativos do WINFUT e WDOFUT da Bolsa Brasileira B3. Indicador é sempre plotado no gráfico diário independente da seleção de timeframe do usuário. Indicador é sempre plotado no gráfico do ativo dependente.


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