Syntax
public double Correlation(double[] x, double[] y, int n)
Parameter Description
| x |
Array of double values (first data series) |
| y |
Array of double values (second data series) |
| n |
Lookback period |
Description
Calculates Pearson Correlation. Uses code from
ALGLIB project.
Example
The following example demonstrates how well correlated were CMO and RSI:
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components; // Correlation here
namespace WealthLab.Strategies
{
public class CorrelationDemo : WealthScript
{
protected override void Execute()
{
// How well correlated were CMO and RSI?
int n = Bars.Count;
double[] x = new double[n];
double[] y = new double[n];
RSI rsi = RSI.Series( Close, 20 );
CMO cmo = CMO.Series( Close, 20 );
for(int bar = 0; bar < Bars.Count; bar++)
{
x[bar] = rsi[bar];
y[bar] = cmo[bar];
}
Calculate calc = new Calculate(this); // pass WealthScript
DrawLabel( PricePane, "Correlation: " + calc.Correlation( x, y, n ) );
}
}
}