Spearman Correlation is an alternative to the Pearsons Correlation and correlates based on the ranking of the series values . Used for IPV Auto Indexed Series or Price Series and synchs the dates of the two series before computing the Correlation.  This version computes the Log returns before computing the Correlation.

 

 

Syntax:

SpearmanLogCorrelationSync( series1, series2, bars )

 

Parameter:

Description:

series1

Name of first data series

series2

Name of second data series

bars

Number of bars over which to find the correlation.

 

Returns:

The correlation over the specified number of bars.

 

Example:

 

 

Links:

 

 

See Also:

 

 


 

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