linearTimeTrend

linearTimeTrend(X, window)

Please see TALib for the parameters and windowing logic.

Calculate the moving linear regression for X. Return a tuple with 2 elements, alpha (the Linear regression intercept LINEARREG_INTERCEPT) and beta (the linear regression slope LINEARREG_SLOPE).

x = 3 3 5 7 8 9 10 11 15 13 12 11 10
print linearTimeTrend(x,3)
// output
([,,2.666666666666666,3,5.166666666666667,7,8,9,9.5,12,14.833333333333333,13,12],[,,1,2,1.5,1,1,1,2.5,1,-1.5,-1,-1])

n = 10
t = table(09:00:00 + 1..n as time, rand(`A`B, n) as sym, rand(100.0, n) as val1, rand(1000..2000, n) as val2)
select time, sym, linearTimeTrend(val1, 3) as `alpha`beta from t