cpp_RollLinReg: C++ Rolling Linear Regression class
In QuantTools: Enhanced Quantitative Trading Modelling

Description Arguments Details Usage Public Members and Methods See Also

C++ class documentation

`n`	indicator period

R functions roll_lm.

RollLinReg( int n )


Name	Return Type	Description
`Add( InputType value )`	`void`	update indicator
`Reset()`	`void`	reset to initial state
`IsFormed()`	`bool`	is indicator value valid?
`GetAlphaHistory()`	`std::vector< double >`	return alpha history
`GetBetaHistory()`	`std::vector< double >`	return beta history
`GetRHistory()`	`std::vector< double >`	return r history
`GetRSquaredHistory()`	`std::vector< double >`	return r squared history
`GetValue()`	`LinRegCoeffs`	has members `double alpha, beta, r, rSquared`
`GetHistory()`	`List`	return values history data.table with columns `alpha, beta, r, r.squared`

Other C++ indicators: BBands, Crossover, Ema, Indicator, RollPercentRank, RollRange, RollSd, RollVolumeProfile, Rsi, Sma, Stochastic

Other C++ classes: BBands, Candle, Cost, Crossover, Ema, Indicator, Order, Processor, RollPercentRank, RollRange, RollSd, RollVolumeProfile, Rsi, Sma, Stochastic, Tick

QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.

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