Correlation

Top Previous Next

The Correlation function returns the statistical correlation for the specified number of bars between two markets.

Syntax

Correlation( series1, series2, barsToMeasure, [offset1], [offset2] )

Parameters

barsToMeasure		the number of bars over which to measure the correlation
series1		the first series
series2		the second series
offset1		the offset of the first series
offset2		the offset of the second series

returns		statistical correlation for last barsToMeasure bars

Example

soybeans.LoadSymbol( "S" )

gold.LoadSymbol( "GC" )

correlation = Correlation( soybeans.close, gold.close, 500 )

Returns the correlation between GC and S over the last 500 days

Returns a decimal number between -1 and 1. Returns -1 if the two series are perfectly negatively correlated. Returns 0 if the two series are not correlated at all. Returns 1 if the two series are perfectly positively correlated.

Generally less than .7 is considered uncorrelated, while .7 to .9 is considered loosely correlated and greater than .9 is considered closely correlated.