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"Pirson and Spearman correlation indicator"

  #6 (permalink)

Cincinnati, OH, USA
 
Trading Experience: Intermediate
Platform: NinjaTrader, R/Quantstrat
Broker/Data: InteractiveBrokers, IQFeed
Favorite Futures: Bund
 
Posts: 7 since Jun 2016
Thanks: 4 given, 4 received

Gianni,

Price and returns are continuous variables, so Pearson should be used to evaluate the correlation between two variables. Spearman is used for ordinal variables, i.e., ranked data.

Not sure if this indicator is of any value...

Cyberjoe

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