This script plots the correlation for two symbols as an oscillator:
A correlation of 1 means that both values move in the same direction together.
A correlation of -1 means that both values are perfectly negative correlated.
Parameter:
Length of the Correlation
The two symbols you want to calculate the correlation for
Barcolor: Defines whether Bar-coloring is set...
A good amount of users requested a text box showing various price statistics, the following script returns various of these stats in a user-selected range, and include classical ones such as a central tendency measurement (mean), dispersion (normalized range) and percent change, but also include less common statistics such as average traded volume and number of...
Volume is one piece of information that is often neglected, however, learning to interpret volume brings many advantages and could be of tremendous help when it comes to analyzing the markets. In addition to technicians, fundamental investors also take notice of the numbers of shares traded for a given security.
What is Volume?
The volume represents all the...
Autocorrelation, also known as serial correlation, is the correlation of a signal with a delayed copy of itself as a function of delay.
This indicator displays autocorrelation based on lag number. The autocorrelation is not displayed based on time on the x-axis. It's based on the lag number which is from 1 to 50. The calculations can be done with "Log...
I'm pleased to introduce this script in honor of the new array functions introduced to PineScript version 4.0. This update is a long time coming and opens the door to amazing scripting possibilities!
Definition
Named after Charles Spearman and denoted by the Greek letter ‘ ρ ’ (rho), the Spearman rank correlation coefficient is the nonparametric version of...
I have been sitting on this for over a year, but I now present this "Voss Predictive Filter" multicator employing PSv4.0 upon initial release, originally formulated by the great and empowering Dr. John Ehlers for TASC - August 2019 Traders Tips. This is a slightly modified version of the original indicator John Ehlers designed. My improved implementation is an...
Display the correlation coefficient and/or Beta of an asset to a specified market.
Options to:
- Specify market (S&P500 futures by default)
- Display one or other metrics
- Modify assessment period (200 bars by default)
- Calculate on price, returns or log-returns
Pearson correlation coefficient measures the linear correlation between two variables. It has a value between +1 and −1, where 1 is total positive linear correlation, 0 is no linear correlation and −1 is total negative linear correlation. It’s often denoted by r for sample correlation and ρ for population correlation.
Note: Pearson Correlation only measures...
Hot off the press, I present this "Correlation Cycle, CorrelationAngle, and Market State" multicator employing PSv4.0, originally formulated by Dr. John Ehlers for TASC - June 2020 Traders Tips. Basically it's an all-in-one combination of three Ehlers' indicators. This power packed triplet indicator, being less than a 100 line implementation at initial release, is...
Fast estimation of an autocorrelogram, more commonly called autocorrelation function (ACF). The script sets the maximum lag as 10*log10(N)-1 and sets the autocorrelation at lag 0 to 1.
Length controls the number of past observations of Src to use as input, while Differentiate Src perform first order differencing to Src before calculating the...
Indicator tracks the 10 day correlation with VIX. I prefer to use this with SPY. Can be a great way to flag tops/melt-ups.
Default settings are set to when the correlation is above 0.2, bars turn red, but you can change this.
In financial terms, 'correlation' is the numerical measure of the relationship between two variables (in this case, the variables are Forex pairs).
The range of the correlation coefficient is between -1 and +1. A correlation of +1 indicates that two currency pairs will flow in the same direction.
A correlation of -1 indicates that two currency pairs will move in...
Hi everyone
A co-pinescripter friend told me this was impossible to do and we bet a free dinner tomorrow. Guess who's going to be invited to a very fancy restaurant tomorrow :) :) :) (hint: not him)
What's the today script is about?
This script is based on this MT4 correlation matrix
Asset correlation is a measure of how investments move in relation to one...
Introduction
There are different and better way's to see price data, a candlestick chart is one of the best way to see the price since you have access to the open/high/low/close information, this is really efficient and can allow for naked non parametric trading strategies (candlesticks patterns) . But what about making candles out of indicators ? There are...
*** Only works for the 28 pairs of the majors & 'major crosses' tickers, this will not provide analysis for anything else!!***
AUD / CAD / CHF / EUR / GBP / JPY / NZD / USD - mix and match.
A tool to plot auto correlation of time series, this is useful in identifying periodicity in a time series or signal.
Due to the limits of Pine Script you'll need to add it multiple times if you want autocorrelation beyond 55 periods. I have added it 4 times here for 220 periods.
For more information on Autocorrelation see:...
This script implements a rebrushed distance-based pair trading strategy. In this strategy, normally they trade the difference between the prices of two instruments. This difference is also called spread. Here, however we’ll trade the difference between two time frames of one instrument. And that's the main trick. Common procedure consists of the following...
![BTCUSD: Autocorrelation Function [pig]](https://s3.tradingview.com/h/HThyPYSC_mid.png "Autocorrelation Function [pig]")
![BTCUSD: Correlation with P-Value & Confidence Interval [pig]](https://s3.tradingview.com/a/AFYOSCoG_mid.png "Correlation with P-Value & Confidence Interval [pig]")
