Correlation

Modified on 2009/09/10 15:04 by Eugene — Categorized as: Community Components

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 ) );
		}
	}
}