What it measures
The linear regression indicator fits a straight line to the last n prices by least squares and plots where that line ends today. The slope of the line is the trend's speed; the standard deviation of price around the line gives a channel. It is a moving average that leans forward, with less lag and more overshoot.
The calculation
fit y = a + b·x through the last n closes, minimising the squared vertical distances linear regression value = a + b·(n − 1), the line's value at the current bar slope = b; channel = value ± k × standard deviation of the residuals
Pine's ta.linreg(source, length, offset) returns the line's value offset bars from the end, so offset 0 is the end point.
Inputs and defaults
- Length: 14 to 100; the channel versions use longer windows.
- Offset: 0.
- Channel width: 2 standard deviations.
How it is read
A rising slope is an uptrend; the sign change of the slope is the signal most strategies code. Price at the channel's edge is read as stretched, with the same reversion-versus-breakout ambiguity as Bollinger Bands.
Where it fails
A straight line is the wrong model for a market that curves, and the fit is dominated by the ends of the window: the oldest bar leaving changes the slope as much as the newest arriving. The end point overshoots at turns. A regression channel drawn over a trend will contain the trend by construction and says nothing about whether it continues.
How the desk reads it
A regression-slope strategy is read as a trend rule with a lookback, and judged like one. A regression channel is read as Bollinger Bands on a tilted mean, with the same reversion-or-breakout ambiguity.
In the desk's screen
Of the 614 screened strategies in the library, 23 (3.7%) use this indicator somewhere in their logic.
11 of those were gross-profitable on enough cells to reach the after-fee replay.
- AE Linear Regression Breakout · after-fee replay
- BB Breakout + Momentum Squeeze [Strategy] Breakout · after-fee replay
- Crownmark Allocation Engine [JOAT] Trading activity · after-fee replay
- KST Strategy [Skyrexio] Breakout · after-fee replay
- MACD Liquidity Tracker Strategy [Quant Trading] Chart turning points · after-fee replay
- My strategy Breakout · after-fee replay
- Price Flip Strategy Breakout · after-fee replay
- Reversal & COG Betting on a snap-back · after-fee replay
- RSI-Adaptive T3 + Squeeze Momentum Strategy A gauge with a line · after-fee replay
- Simple APF Strategy Backtesting [The Quant Science] A rule of its own · after-fee replay
- Versatile Moving Average Strategy Joining a move · after-fee replay
- *Backtesting System Template Time of day
The count is read from the compiled code of each strategy in the library; a strategy that computes the indicator by hand under another name is not counted. The desk's own rules are not part of the count.