Enhanced OLS Residuals Calculation and Visualization

📅 2024-01-18 — Session: Enhanced OLS Residuals Calculation and Visualization

🕒 16:05–17:10
🏷️ Labels: Python, OLS, Data Visualization, Rolling Residuals, Finance
📂 Project: Dev
⭐ Priority: MEDIUM

The session aimed to enhance the calculation and visualization of Ordinary Least Squares (OLS) residuals for financial data analysis.

Modified Function for Rolling Residuals Calculation: Updated the add_rolling_residuals function to perform OLS computations directly within the function, allowing for better debugging and control.
Line Plot Creation: Developed a line plot of adjusted close prices with residuals, due to the unavailability of mplfinance for candlestick charts.
Diagnostic Plot for OLS Model: Outlined the steps to create a diagnostic plot for an OLS model, including regression line, residuals, and model parameter annotations.
Integration with Candlestick Chart: Provided a script to integrate OLS diagnostic plots with candlestick charts, enhancing stock data visualization.
Efficient Calculation for Multiple Tickers: Implemented a script to apply the rolling residuals function across multiple tickers and save the results to a CSV file.

Successfully modified and tested the add_rolling_residuals function.
Created visualizations that integrate OLS diagnostics with stock data, improving analytical insights.

Explore alternatives or updates for mplfinance to support candlestick charting directly.
Further optimize the rolling residuals calculation for large datasets.