Home > Articles > Volume 11 (1993) > Chapter 4 (April 1993) > V.11:4 (166-168): SIDEBAR: LEAST-SQUARES CYCLE AND THE TIME SERIES MOVING AVERAGE

V.11:4 (166-168): SIDEBAR: LEAST-SQUARES CYCLE AND THE TIME SERIES MOVING AVERAGE

V.11:4 (166-168): SIDEBAR: LEAST-SQUARES CYCLE AND THE TIME SERIES MOVING AVERAGE
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LEAST-SQUARES CYCLE AND THE TIME SERIES MOVING AVERAGE

The least-squares cycle oscillator calculates a regression line that is a best fit of the data for the selected time period, and then the difference between the current closing price and the current value of the least-squares regression line is determined. This value is smoothed with an n period moving average. To understand the calculation of the least-squares regression line, we begin with the formula for a straight line:

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