Correlation

Modified on 2013/05/11 10:11 by Eugene — Categorized as: Community Components

Syntax


public static double Correlation(this double[] x, double[] y, int n)

public double Correlation(double[] x, double[] y, int n)

Parameter Description

xArray of double values (first data series)
yArray of double values (second data series)
nCorrelation lookback period

Description

Calculates Pearson Correlation. Uses code from ALGLIB project.

Example

The following example demonstrates how well correlated were CMO and RSI:

Example using C# extension methods:


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

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];
			}
			
			DrawLabel( PricePane, "Correlation: " + x.Correlation( y, n ) );
		}
	}
}

Legacy syntax example:


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 ) );
		}
	}
}