Linear Regression Slope “Angle” Question

Optuma Forums Optuma Scripting Linear Regression Slope “Angle” Question

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  • #64789
    Vernon
    • Topics: 1
    • Replies: 1
    • Posts: 2

    Hello,

    When using the Linear Regression Slope (LRS) script, it gives the option of providing the output as a “slope” or an “angle.” I understand the slope result but I’m not sure what the “angle” is representing.

    For example, when I write a script to show me the 126-day LRS expressed for SPY (S&P 500 etf), the output is 27 (based on closing price of 6/7/21).
    Another example would be the 126-day LRS angle for SPX (S&P 500 index). The output is 270, or 10 times the SPX.

    How is the angle calculated?

    Thanks

    #64863
    Mathew
    • Topics: 36
    • Replies: 1,936
    • Posts: 1,972

    Hi Vernon,

    It takes the slope and converts it to Degrees from Radians. Its use is questionable.

    All the best

    Mathew

    #64865
    Vernon
    • Topics: 1
    • Replies: 1
    • Posts: 2

    Thank you Mathew!

    On a completely separate note, your CMT study programs are outstanding and were very helpful to me in earning my CMT designation in ’20, particularly for someone like me who has spent most of his career (30+ years) on the fundamentals side of the business (I’m a CFA and CAIA charter holder). Thanks again!

    #64867
    Mathew
    • Topics: 36
    • Replies: 1,936
    • Posts: 1,972

    Glad that we could help.  One day I plan to go the other way and do my CFA. Just trying to clear some major development upgrades so I can get the time.

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