I want to plot regression lines in R for technical analysis.
First, I regress the price on the date and I get the main regression line. However, also, I need lines that correspond to (Main regression line +- 2*standard deviation).
Do you know how I can implement this? I already checked the TTR package, but I couldn't find a built-in indicator for this purpose.
Thank you.
To obtain points on the regression line, you can use the function predict on the fitted model. For confidence intervals, use the options interval and level, e.g.:
lsq <- lm(y ~ x, data)
predict(lsq, data.frame(x=c(12,45), interval="confidence", level=0.95)
To expand on @cdalitz answer this is how you plot the regression line with the confidence interval:
# Generate data
set.seed(123)
n = 100
x = runif(n)
y = 2 * x + rnorm(n, sd = 0.5)
m = lm(y ~ x)
newx = seq(min(x), max(x), length.out = 100)
pred = predict(m, newdata = data.frame(x = newx), interval="confidence", level=0.95)
# Plot data
plot(x, y)
# Plot model
abline(m)
# Plot 95% confidence interval
lines(newx, pred[, 2], col = "red", lty = 2)
lines(newx, pred[, 3], col = "red", lty = 2)
This question also shows many ways to do the same thing.
