The CorrelationLog function returns the statistical correlation between two series, for the specified number of bars. These series can be any list of numbers, and does not have to be market data. Can be auto indexed or non auto indexed, and can be IPV or BPV.

The Correlation function uses the actual values such as: Value1 and Value 2.

The CorrelationLog function uses the change in the log of the values in the series such as: Log(Value1) - Log(Value2).

Syntax: |
---|

CorrelationLog( series1, series2, barsToMeasure, [offset1], [offset2] ) |

Parameter: |
Description: |
---|---|

barsToMeasure |
Number of bars over which to measure the correlation. |

series1 |
First series name. |

series2 |
Second series name. |

offset1 |
Offset of the first series. |

offset2 |
Offset of the second series. |

Returns: |
---|

Statistical correlation for last period length in the barsToMeasure parameter. |

Example: |
---|

' Load Soybeans in the BPV Instrument "soybeans" |

Results: |

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 0.7 OR greater is considered loosely correlated and 0.9 OR greater is considered closely correlated. |

Links: |
---|

Correlation, CorrelationLogSynch, CorrelationSynch, MaxSynchBars |

See Also: |

Edit Time: 5/2/2017 7:23:40 AM |
Topic ID#: 229 |