Correlation: Indicator Documentation
Syntax
DataSeries CorrelationXL( DataSeries x, DataSeries y, int period )
DataSeries Correlation( DataSeries x, DataSeries y, int period )
public static double Value( int bar, DataSeries x, DataSeries y, int period )
Parameter Description
| x | First DataSeries |
| y | Second DataSeries |
| period | Lookback period used to calculate correlation between the series |
Description
Returns Pearson's Correlation Coefficient between the two specified data series,
x and
y. Specify the quantity of data to analyze in the Lookback parameter (
period).
The first series coded by Michael Bytnar and is used to match Excel's output, the other one coded by Steve Salemy returns Pearson Correlation function using a Community.Components function.
References:
Pearson Correlation - a Community.Components function
Example
This code plots both implementations of the Pearson Correlation formula taking correlation of RSI and CMO for example:
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
protected override void Execute()
{
int Period = 99;
CMO cmo = CMO.Series(Close,20);
RSI rsi = RSI.Series(Close,20);
DataSeries c1 = CorrelationXL.Series( cmo, rsi, Period );
DataSeries c2 = Correlation.Series( cmo, rsi, Period );
HideVolume();
ChartPane c = CreatePane( 50, false, true );
ChartPane c_ = CreatePane( 50, false, true );
PlotSeries (c, c1, Color.Black, WealthLab.LineStyle.Solid, 3);
PlotSeries (c_, c2, Color.Blue, WealthLab.LineStyle.Solid, 3);
}
}
}