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CorrelationSynch

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This function returns the correlation value of two IPV series. The series are date synched, to remove holidays or other missing data, so each record compared between the series have the same date. The CorrelationLogSynch function uses the log of the (rate of) change between the elements in the series, whereas the CorrelationLog function uses just the rate of change between the elements in the series. To avoid computing the Log of a negative number, us the "uc" parameter if the back adjusted futures data might go negative.

Because these are date synched, these Synch functions only work with auto indexed IPV series.

Syntax:
CorrelationSynch( series1, series2, sampleSize, offset1, offset2, "uc" )

Parameter:	Description:
series1	Series element/property value of the first series.
series2	Series element/property value of the second series.
sampleSize	Number of bars over which to measure the correlation coefficient.
offset1	Offset value for the first series.
offset2	Offset value for the second series.
"uc"	Use the unadjusted close as the rate of change divisor, in case the adjusted price goes negative.

Example:
' Run the correlation process once a month ' Can run every day or bar if desired. If Month( test.currentDate ) <> lastMonth THEN ' Reset/Clear previous correlations information instrument.ResetCloselyCorrelated instrument.ResetLooselyCorrelated ' Loop through all symbols in the portfolio so ' their correlation can be evaluated. For index = 1 TO system.totalInstruments STEP 1 ' Load the next instrument inst.LoadSymbol( index ) ' Get the correlation between the two instruments ' over the last correlationPeriod days If instrument.bar > correlationPeriod * SynchCorrelationBuffer AND inst.bar > correlationPeriod * SynchCorrelationBuffer THEN ' Calculate Log value of Synch'd comparison record correlationValue = CorrelationSynch( instrument.close, inst.close, correlationPeriod ) ELSE ' Clear the working variable when conditions don't match correlationValue = 0 ENDIF ' Determine if the value is closely or loosely ' correlated before adding it to correlation matrix If correlationValue > closeThreshold THEN ' Add Loaded Symbol to Closely Correlated record series instrument.AddCloselyCorrelated( inst.symbol ) ELSE ' Add Loaded Symbol to Loosely Correlated record series If correlationValue > looseThreshold THEN instrument.AddLooselyCorrelated( inst.symbol ) ENDIF ENDIF Next ' index ' Save the month so we know when it changes lastMonth = Month( test.currentDate ) ENDIF ' Month( test.currentDate ) <> lastMonth
Returns:

Example:

' Run the correlation process once a month

' Can run every day or bar if desired.
If Month( test.currentDate ) <> lastMonth THEN

' Reset/Clear previous correlations information
instrument.ResetCloselyCorrelated
instrument.ResetLooselyCorrelated

' Loop through all symbols in the portfolio so
' their correlation can be evaluated.
For index = 1 TO system.totalInstruments STEP 1

' Load the next instrument
inst.LoadSymbol( index )

' Get the correlation between the two instruments
' over the last correlationPeriod days
If instrument.bar > correlationPeriod * SynchCorrelationBuffer AND
inst.bar > correlationPeriod * SynchCorrelationBuffer THEN

' Calculate Log value of Synch'd comparison record
correlationValue = CorrelationSynch( instrument.close, inst.close, correlationPeriod )
ELSE
' Clear the working variable when conditions don't match
correlationValue = 0
ENDIF

' Determine if the value is closely or loosely
' correlated before adding it to correlation matrix
If correlationValue > closeThreshold THEN
' Add Loaded Symbol to Closely Correlated record series
instrument.AddCloselyCorrelated( inst.symbol )
ELSE
' Add Loaded Symbol to Loosely Correlated record series
If correlationValue > looseThreshold THEN
instrument.AddLooselyCorrelated( inst.symbol )
ENDIF
ENDIF
Next ' index

' Save the month so we know when it changes
lastMonth = Month( test.currentDate )
ENDIF ' Month( test.currentDate ) <> lastMonth

Returns:

Links:
Correlation Properties, CorrelationLog, CorrelationSynch, CorrelationLogSynch, MaxSynchBars
See Also:
Mathematical Functions, Series Functions,

Edit Time: 9/18/2020 11:24:19 AM

Topic ID#: 232

CorrelationSynch

Syntax:

Parameter:

Description:

Example:

Returns:

Links:

See Also: