SpearmanLogCorrelation
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Spearman correlation is an alternative to the Pearsons correlation and correlates based on the ranking of the series values . This version computes the log returns before computing the correlation.
This WikipediA link provides a good explanation of how this statical function analyzes information.
Syntax: |
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SpearmanLogCorrelation( series1, series2, bars ) |
Parameter: |
Description: |
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series1 |
Name of first data series |
series2 |
Name of second data series |
bars |
Number of bars over which to find the correlation. |
Returns: |
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The correlation over the specified number of bars. |
Example: |
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Edit Time: 3/21/2022 11:46:57 AM |
Topic ID#: 576 |