Robust Trendline Fitting

Install and import

npm install fintech-algorithms

import { fitRobustTrendline } from "fintech-algorithms/geometric-chart-patterns/pivots-and-levels/robust-trendline-fitting";

Signature

fitRobustTrendline(pivots, kind, toleranceBps, minInliers, maxPoints)

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

[
  {
    "kind": "low",
    "event_index": 0,
    "confirmation_index": 3,
    "price": 99.48431564193378
  },
  {
    "kind": "low",
    "event_index": 10,
    "confirmation_index": 13,
    "price": 109.94717245212351
  },
  {
    "kind": "low",
    "event_index": 20,
    "confirmation_index": 23,
    "price": 121.51041751873485
  }
]

Showing 3 of 4 elements.

"low"

75

3

12

40

Call

fitRobustTrendline(pivots, kind, toleranceBps, minInliers, maxPoints)

Returns

object with 10 fields: kind, slope_log_per_bar, intercept_log, projected_index, projected_price, inlier_count, outlier_count, median_absolute_residual_bps, …

{
  "kind": "low",
  "slope_log_per_bar": 0.010000000000000009,
  "intercept_log": 4.6,
  "projected_index": 40,
  "projected_price": 148.4131591025766,
  "inlier_count": 3,
  "outlier_count": 1,
  "median_absolute_residual_bps": 0,
  "inlier_event_indexes": [0, 10, 20],
  "source_pivot_count": 4
}

Other exports

This module also exports detectCausalPivots. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References

• Random Sample Consensus: A Paradigm for Model Fitting — Martin A. Fischler and Robert C. Bolles
• sklearn.linear_model.RANSACRegressor — scikit-learn project
• Linear Least Squares Regression — NIST/SEMATECH
• Pine Script Concepts: Repainting — TradingView