series_fit_2lines()

Learn how to use the series_fit_2lines() function to apply a two segmented linear regression on a series.

Applies a two segmented linear regression on a series, returning multiple columns.

Takes an expression containing dynamic numerical array as input and applies a two segmented linear regression in order to identify and quantify a trend change in a series. The function iterates on the series indexes. In each iteration, the function splits the series to two parts, fits a separate line (using series_fit_line()) to each part, and calculates the total r-square. The best split is the one that maximized r-square; the function returns its parameters:

Parameter	Description
`rsquare`	R-square is standard measure of the fit quality. It’s a number in the range [0-1], where 1 - is the best possible fit, and 0 means the data is unordered and don’t fit any line.
`split_idx`	The index of breaking point to two segments (zero-based).
`variance`	Variance of the input data.
`rvariance`	Residual variance, which is the variance between the input data values the approximated ones (by the two line segments).
`line_fit`	Numerical array holding a series of values of the best fitted line. The series length is equal to the length of the input array. It’s mainly used for charting.
`right_rsquare`	R-square of the line on the right side of the split, see series_fit_line().
`right_slope`	Slope of the right approximated line (of the form y=ax+b).
`right_interception`	Interception of the approximated left line (b from y=ax+b).
`right_variance`	Variance of the input data on the right side of the split.
`right_rvariance`	Residual variance of the input data on the right side of the split.
`left_rsquare`	R-square of the line on the left side of the split, see series_fit_line().
`left_slope`	Slope of the left approximated line (of the form y=ax+b).
`left_interception`	Interception of the approximated left line (of the form y=ax+b).
`left_variance`	Variance of the input data on the left side of the split.
`left_rvariance`	Residual variance of the input data on the left side of the split.

Syntax

project series_fit_2lines(series)

Will return all mentioned above columns with the following names: series_fit_2lines_x_rsquare, series_fit_2lines_x_split_idx etc.

project (rs, si, v)=series_fit_2lines(series)

Will return the following columns: rs (r-square), si (split index), v (variance) and the rest will look like series_fit_2lines_x_rvariance, series_fit_2lines_x_line_fit and etc.

extend (rs, si, v)=series_fit_2lines(series)

Will return only: rs (r-square), si (split index) and v (variance).

Parameters

Name	Type	Required	Description
series	`dynamic`	✔️	An array of numeric values.

Examples

print
    id=' ',
    x=range(bin(now(), 1h) - 11h, bin(now(), 1h), 1h),
    y=dynamic([1, 2.2, 2.5, 4.7, 5.0, 12, 10.3, 10.3, 9, 8.3, 6.2])
| extend
    (Slope, Interception, RSquare, Variance, RVariance, LineFit)=series_fit_line(y),
    (RSquare2, SplitIdx, Variance2, RVariance2, LineFit2)=series_fit_2lines(y)
| project id, x, y, LineFit, LineFit2
| render timechart

Series fit 2 lines.

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