energies_correlation_zscore

10 thg 9, 2022

A table to help track correlations between the four major energies contracts of the CME. The table shows the z-score of the current correlation value between HO, RB, CL, and NG. The inputs are:

- timeframe: the timeframe of the calcluation. the default is 5 minutes.
- window: the rolling window over which to calculate the correlations. the default is 48, or four hours given the default timeframe.

A score of zer means that the correlation over the latest window is in line with the average for all windows sampled from the chart history. More positive scores imply higher positive correlation than normal, and vice versa for negative scores.

13 thg 9, 2022

Phát hành các Ghi chú

- input option to toggle between the raw correlation and zscore