Time Series Forecast (TSF)

Overview

The Time Series Forecast indicator represents a sophisticated approach to price smoothing that combines statistical rigor with practical trading applications. Unlike simple moving averages that merely average past prices, TSF performs linear regression over a moving window to establish a trend line, then projects this line forward to forecast where prices should be. This forward-looking characteristic makes TSF particularly responsive to price changes, often generating signals several bars earlier than traditional moving average crossovers.

The calculation involves using the least squares method to fit a straight line through the most recent N price points, determining both slope and intercept. The TSF then plots the projected value of this regression line, essentially showing where prices "should" be based on the current trend. This approach creates a smooth line that adapts quickly to trend changes while filtering out random price fluctuations, making it ideal for trend-following strategies where early entry and exit signals are crucial.

Interpretation & Trading Signals

Example Usage

Code examples will be available once the Rust implementation is complete.