Time Series Forecasts (TSF)

Time Series Forecasts (TSF) 

The Time Series Forecast indicator is also known as the Moving Linear Regression, or Regression Oscillator. The reason for this is that, like a standard Linear Regression line, it aims to identify a straight line as close to all given values on the graph, resulting in an average line. The indicator analyses past period prices and can then be extrapolated to forecast future period prices.

Average prices are often calculated using the Moving Average indicator; however the TSF indicator has the advantage of not exhibiting as much delay as the aforementioned indicator. This is because the indicator is continuously "fitting" itself to the data rather than simply averaging them. Note that this type of prediction is purely mathematical as it is ultimately the equivalent of drawing a line through the recent points and projecting that line forward.

Calculation

You can calculate TSF in a spreadsheet application by typing:

=forecast( [n-1+k] , [range containing prices] , [range containing the values 0 to n-1])

n = the past periods

k = next/future periods

Where k is 0 you are forecasting the last period, not the future

Signals

• When the instrument’s Price is higher than the indicator’s value, the trend is considered upwards
• When the instrument’s Price is lower than the indicator’s value, the trend is considered downwards If prices are going up, TSF attempts to logically determine the upward trend of the price relative to the current price and extend that calculation forward.