Correlation coefficient

Created by Karl Pearson, the Correlation coefficient depicts the linear statistical correlation between two price bar histories; includes R-squared (R²) / coefficient of determination, variance, and covariance. [Discuss] 💬

// C# usage syntax
IReadOnlyList<CorrResult> results =
  barsA.ToCorrelation(barsB, lookbackPeriods);

Parameters

param	type	description
barsA	IReadOnlyList<TBar>	Historical price bars (A) must have at least the same matching date elements of barsB.
barsB	IReadOnlyList<TBar>	Historical price bars (B) must have at least the same matching date elements of barsA.
lookbackPeriods	int	Number of periods (N) in the lookback period. Must be greater than 0 to calculate; however we suggest a larger period for statistically appropriate sample size.

Historical price bars requirements

You must have at least N periods for both versions of bars to cover the warmup periods. More than the minimum is typically specified.

barsA and barsB must have consistent frequency (day, hour, minute, etc). Mismatch histories will throw InvalidBarsException. See the Guide for more information.

Response

IReadOnlyList<CorrResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null values since there's not enough data to calculate.

CorrResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
VarianceA	double	Variance of A
VarianceB	double	Variance of B
Covariance	double	Covariance of A+B
Correlation	double	Correlation R
RSquared	double	R-squared (R²), aka Coefficient of determination

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = bars
    .Use(CandlePart.HL2)
    .ToCorrelation(barsMarket.Use(CandlePart.HL2),20);

🚩

Both barsA and barsB arguments must contain the same number of elements and be the results of a chainable indicator or .Use() method.

Results can be further processed on Correlation with additional chain-enabled indicators.

// example
var results = bars
    .ToCorrelation(..)
    .ToSlope(..);

See Chaining indicators for more.

Streaming

Streaming is not supported for this indicator. This indicator requires a second synchronized bar series, which cannot be expressed in the single-series streaming model. Use the Series (batch) implementation with periodic recalculation instead.