ta-pattern-lib/src/features/feature_regression.ts

Technical Analysis and Backtesting Framework for Node.js

export const linear_regression = (y: number[]): {slope:number;intercept:number} => {
    const x = Array.from({length: y.length}, (_, i) => i);
    const n = y.length;
    const sumX = x.reduce((a, b) => a + b, 0);
    const sumY = y.reduce((a, b) => a + b, 0);
    const sumXY = x.reduce((sum, xi, i) => sum + xi * y[i], 0);
    const sumXX = x.reduce((sum, xi) => sum + xi * xi, 0);

    const slope = (n * sumXY - sumX * sumY) / (n * sumXX - sumX * sumX);
    const intercept = (sumY - slope * sumX) / n;

    return {
        slope,
        intercept,
    };
}