Linear regression fit of stock prices

[black diamond]

It sounds like CRSP would do it for you. NYSE daily data back to the 1920's, also has NASDAQ and AMEX. I think it is super-expensive but most b-schools have it, if you know or make friends with somebody at a b-school they might be able to help you.

http://www.crsp.com/

 

[Hook N. Sinker]

Quote from mililani:

I'm somewhat new to technical analysis, but is there something in the standard bag of tricks that shows you if the stock price in a given time frame fits a line? Or, if it is trending upwards or downwards (the slope of the linear fitted line) ? And how closely the prices fit that trend (R squared) ? Basically, is there something that does a standard linear regression fit of stock prices in a certain time period, and show you how deviated the prices are around that line?

You might also be interested in the linear regression indicator. http://www.dailyfx.com/charts/Chart.html (see attachment). I notice it is possible to add multiple linear regression indicators with different time constants to the chart and identify crossovers.