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I don't know how to get this correlation function to work...
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I don't know how to get this correlation function to work...

  #1 (permalink)
Bath + Somerset
Trading Experience: None
Platform: Amibroker
Favorite Futures: FX
Posts: 1 since Jun 2017
Thanks: 0 given, 0 received

I don't know how to get this correlation function to work...


I really want to know how to implement this. I want to measure correlation between instruments but the correlation range needs to dynamically be determined. I tried to find ways to implement the array as a number by using LastValue ( range ) but this seems to default to 0 and doesn't work. It looks like I need to implement some kind of a loop but don't know how to do it.

Say we have this below

bi = BarIndex();
S = Cross(MA(C, 4), MA(C,8));
c1 = ValueWhen( S, MA(C, 4), 1) > ValueWhen( S, MA(C, 4), 2);
Range = ValueWhen( S, bi, 1) - ValueWhen( S, bi, 2);
c2 = Correlation(C, Foreign("APPL", "C"), Range) > 0.7;

// You can see the correlation between the stocks are determined by the two cross over points which always changes.

Buy = c1 and c2;

Please help me implement this !

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  #2 (permalink)
Trading Experience: Beginner
Platform: AmiBrojer,NinjaTrader,ProRealTime
Favorite Futures: STOXX
Posts: 8 since Feb 2011
Thanks: 170 given, 6 received

please search for "Correlation for Period as Array" in old Amibroker forum (around May 22, 2016)
Good luck and Regards

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