Curve Fitting of Time Series

"Curve fitting" is one of the "evils" of trading system modeling. However, occasionally, there are useful purposes for such statistical fitting. Following are QCL Commands for fitting curves to time series, for legitimate purposes, of course:

• Commands for Fitting Curves to Time Series

• Fitting Chebychev polynomials to time series

• Fitting moving n-point polynomials to time series

• Fitting n-th order polynomials to time series

• Fitting a series of non-linear curves to time series (XY, XY^2, quadratics)

• Fitting straight lines to beginning and ending points of time series

• Fitting straight lines to beginning and ending dates on a month-to-month basis within time series

• Proprietary multiple regression (without all of MR's usual faults)

• Fit a cubic spline to a series of data points, interspersed with "missing-data" points

• Fit a time series with transcendental functions (sine, cosine, exponential, ...)

 

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