Regression Channel

Install and import#

bash

npm install fintech-algorithms

import { regressionChannel } from "fintech-algorithms/technical-indicators/bands-envelopes-and-squeezes/regression-channel";

Signature#

regressionChannel(input)

Regression Channel: the end point of a rolling least-squares fit of close over period bars, with bands multiplier root-mean-square residuals above and below that fitted point.

Parameters#

Name	Type	Notes
`input`	`TopicInput`	`bars` is the required OHLCV array -- each bar carries `timestamp`, `open`, `high`, `low`, `close`, `volume` and an optional `basis`, strictly ordered by timestamp. From `parameters` this topic reads `period` (default 20, integer >= 2), the regression window, and `multiplier` (default 2, a finite number >= 0), the channel half-width in residual units.

Returns#

TopicResult

series holds center, the fitted close at the end of each window, plus upper and lower; latest carries the last of each. All three share a warm-up of period - 1 leading nulls, so ready_at is 19 at the default period.

Warm-up#

The first `period - 1` bars (19 at the default period) positions are null. The fit is recomputed from scratch on each full window, so nothing is emitted until period closes exist. The channel does not extend or anchor across windows.

Errors#

When parameters.period is not an integer >= 2 — throws Error
When parameters.multiplier is not a finite number, or is negative — throws Error
When a bar is missing open, high, low, close, or volume, or one of them is not a finite number — throws Error

Complexity: time O(n * period), space O(n).

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#

input

{
  "bars": [
    {
      "timestamp": "2024-01-02",
      "basis": "synthetic-unadjusted",
      "open": 100,
      "high": 101.45,
      "low": 98.695,
      "close": 100,
      "volume": 750000,
      "benchmark": 200
    },
    {
      "timestamp": "2024-01-03",
      "basis": "synthetic-unadjusted",
      "open": 101.49111452,
      "high": 103.38381693,
      "low": 100.05480022,
      "close": 101.78791214,
      "volume": 795117,
      "benchmark": 200.56326135
    },
    {
      "timestamp": "2024-01-04",
      "basis": "synthetic-unadjusted",
      "open": 102.45519048,
      "high": 104.6701838,
      "low": 100.91147007,
      "close": 102.9549389,
      "volume": 840234,
      "benchmark": 201.11020913
    }
  ],
  "parameters": {}
}

Call#

regressionChannel(input)

Returns#

object with 9 fields: topic_id, title, state, ready, ready_at, series, latest, parameters, …

{
  "topic_id": "D07-F07-A05",
  "title": "Regression Channel",
  "state": "calculated",
  "ready": true,
  "ready_at": 19,
  "series": {
    "center": [null, null, null, null, null, null],
    "upper": [null, null, null, null, null, null],
    "lower": [null, null, null, null, null, null]
  },
  "latest": {
    "center": 103.97453763199998,
    "upper": 108.29510693120406,
    "lower": 99.6539683327959
  },
  "parameters": {},
  "diagnostics": {
    "causal": true,
    "input_count": 96
  }
}

Diagrams#

Calculation flow#

Regression Channel calculation flow

flowchart LR
    A["ordered OHLC or close observations, a declared centerline,"] --> B["Validate order, basis, and finite values"]
    B --> C["Apply the selected Regression Channel convention"]
    C --> D["Emit value, readiness, and diagnostics"]
    D --> E["Interpret descriptively; test outcomes separately"]
    B -->|invalid or insufficient| X["Withhold output with a reason"]

Regression Channel readiness and evidence states

stateDiagram-v2
    [*] --> Waiting
    Waiting --> Ready: enough valid causal observations
    Waiting --> Rejected: malformed or unsupported input
    Ready --> Calculated: selected formula applied
    Calculated --> Interpreted: diagnostic and limitation retained
    Interpreted --> Ready: next observation arrives
    Rejected --> Waiting: corrected input and deterministic reset

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#

TA-Lib function groups — see linked primary or authoritative record
TA-Lib C/C++ API — see linked primary or authoritative record
TA-Lib maintained source — see linked primary or authoritative record
Evidence decision
Level 1 evidence map

Regression Channel

Install and import#

Signature#

Parameters#

Returns#

Warm-up#

Errors#

Worked example#

Input#

Call#

Returns#

Diagrams#

Calculation flow#

How it works#

References#

The rest of the Bands, Envelopes, and Squeezes family#