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atgPairsCorrelation indicator support
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atgPairsCorrelation indicator support

  #1 (permalink)
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atgPairsCorrelation indicator support

This is the main support thread for the atgPairsCorrelation indicator for NinjaTrader.

The atgPairsCorrelation indicator plots the correlated logarithmic returns of two data series. The inputs to the indicator are standard price series data. The indicator internally generates the logarithmic returns and calculates and plots the correlation between them.

The indicator plots a value that ranges between -1 and +1. A positive value means that the two data series are correlated ( moving together ) while a negative value means they're moving in opposite directions. The magnitude of the value expresses the fidelity of the correlation. A value of 1 is achieved if you compare an instrument with itself.

Special thanks to @Oysteryx for making this possible.

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The indicator download page is here.

A chart template that configures the indicator is attached to this post.

The template assumes that the ES daily data series loaded on the chart. The chart series is always compared with one other series that the indicator loads internally. You may of course use any data series you want on the chart and in the settings for the indicator to run correlation studies on pairs of interest to you.

To use this template load it on a chart of the ES with at least 365 days of daily data. This template loads 7 instances of the atgPairsCorrelation into a single chart panel so that they plots are overlaid.

You must maintain the property settings for each instance so that the contract months are current.

Spreads
For running a correlation on an interest rate spread you must enter the two instruments involved in the spread into SpreadLeg1 and SpreadLeg2. In addition you must enter weights for each leg of the spread. the CME publishes these weights here:

http://www.cmegroup.com/trading/interest-rates/files/ics-ratios-2015-12.pdf

They are frequently changed so be sure to check it regularly.

The SecondInstrument parameter ( set to ES 09-15 ) is ignored if SpreadLeg1 and SpreadLeg2 are populated.

The CME weights found on the aforementioned web page for each leg are specified in SpreadLeg1Weight and SpreadLeg2Weight.

Here are some basic property settings to configure the indicator to compare the ES to the 6J contract ( USDJPY futures contract ):

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For running a correlation on an interest rate spread you must enter the two instruments involved in the spread into SpreadLeg1 and SpreadLeg2. In addition you must enter weights for each leg of the spread. the CME publishes these weights here:
http://www.cmegroup.com/trading/interest-rates/files/ics-ratios-2015-12.pdf

Here's how to configure a correlation of the ES to the spread between the ZN and ZT ( 10 year - 2 year US treasury bond futures contracts ).

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Attached Files
Register to download File Type: xml atgCorrelation.xml (39.4 KB, 116 views)

Last edited by timendaGain; September 7th, 2015 at 10:38 PM.
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  #2 (permalink)
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timendaGain View Post
Here's an updated version that plots the labels.

You should update the zip file download instead and add a small text section for changelog, then make a post here that you've done so. I will read the post, and then send out notice emails to everyone who downloaded the file so they know the new file is available.

Mike

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  #3 (permalink)
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atgPairsCorrelation update


Added support to automatically label the plots.

New version attached as well as uploaded to the downloads page. @Big Mike

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Attached Files
Register to download File Type: zip atg.PairsCorrelation.zip (3.7 KB, 42 views)
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  #4 (permalink)
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One thing I don't like about this indicator is that the correlation function is inefficient. In fact that's an understatement. It loops through the correlation period 5 times! It should not loop even once. My next priority is finding or coding a replacement algorithm.

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  #5 (permalink)
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atgPairsCorrelation update

Speed enhancements. Reduced 5 loops through the correlation period to 1 loop. See attached. New version is also on the downloads page. @Big Mike

Attached Files
Register to download File Type: zip atg.PairsCorrelation.zip (3.7 KB, 59 views)
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  #6 (permalink)
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timendaGain View Post
Speed enhancements. Reduced 5 loops through the correlation period to 1 loop. See attached. New version is also on the downloads page. @Big Mike

Please update the changelog, then let me know. If I send notifications now, it looks like nothing was changed since Sept 8

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #7 (permalink)
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Big Mike View Post
Please update the changelog, then let me know. If I send notifications now, it looks like nothing was changed since Sept 8

Mike

I understand that's because I did 2 changes on the 8th? If so then changing the 2nd entry in the changelog from 9/8 to 9/14 should fix it? I've done that now.

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  #8 (permalink)
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timendaGain View Post
I understand that's because I did 2 changes on the 8th? If so then changing the 2nd entry in the changelog from 9/8 to 9/14 should fix it? I've done that now.

No, sorry. My mistake. I am catching up on hundreds of posts I've not had a chance to read over the last few days and didn't realize your post was from the 8th.

We don't send out notification updates twice in one day so it wouldn't matter.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #9 (permalink)
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Big Mike View Post
No, sorry. My mistake. I am catching up on hundreds of posts I've not had a chance to read over the last few days and didn't realize your post was from the 8th.

We don't send out notification updates twice in one day so it wouldn't matter.

Mike

Okay. No new changes since the 8th but depending on when you sent a notification for the 1st change they may miss the 2nd. Best to notify them again.

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  #10 (permalink)
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atgPairsDiversion Ninja ?


Is there a Ninja version for the Diversion indicator that I somehow missed ?

If not, would it be possible to list the text of the TradeStation code so I can see if it can be converted to Ninja.

Thanks,

Ryan.

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