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This paper considers the problem of piecewise linear prediction from a competitive algorithm approach. In prior work, prediction algorithms have been developed that are "universal" with respect to the class of all linear predictors, such that they perform nearly as well, in terms of total squared prediction error, as the best linear predictor that is able to observe the entire sequence in advance. In this paper, we introduce the use of a "context tree," to compete against a doubly exponential number of piecewise linear (affine) models. We use the context tree to achieve the total squared prediction error performance of the best piecewise linear model that can choose both its partitioning of the regressor space and its real-valued prediction parameters within each region of the partition, based on observing the entire sequence in advance, uniformly, for every bounded individual sequence. This performance is achieved with a prediction algorithm whose complexity is only linear in the depth of the context tree per prediction. Upper bounds on the regret with respect to the best piecewise linear predictor are given for both the scalar and higher order case, and lower bounds on the regret are given for the scalar case. An explicit algorithmic description and examples demonstrating the performance of the algorithm are given.