Linear Regression - Coef of Determination (R2)

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Linear Regression - Coef of Determination (R2)

Variable List Abbreviation: LinRegRSqd

 

Variable Mode(s): Standard, Stock, Futures1, and Futures2

[ Note: uses selected close variable in Stock, Futures1, and Futures2 modes ]

 

Parameter(s): LinRegRSqd time periods

 

Description:

The coefficient of determination is a measure of the strength of the linear regression line fitted to the last n (time periods) time periods of values.  A coefficient of regression near one indicates a strong positive linear relationship between the values and time.  A coefficient of regression near negative one indicates a strong negative linear relationship between the values and time.  A coefficient of regression near zero indicates a weak linear relationship between the values and time.