SpearmanLogCorrelationSync
Contents
Spearman Correlation is an alternative to the Pearsons Correlation and correlates based on the ranking of the series values .
This WikipediA link provides a good explanation of how this statical function analyzes information.
Use this function when an IPV Auto Indexed Series, or Price Series, and the dates in each series can be synchronized before computing series Correlation.
This version computes the Log returns before computing the Correlation.
Syntax: |
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SpearmanLogCorrelationSync( 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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Links: |
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Edit Time: 3/21/2022 11:45:27 AM |
Topic ID#: 577 |