Correlation (Function)
DisclaimerThe Correlation function calculates the correlation coefficient between an independent and dependent data series.
A correlation coefficient is a number between -1 and 1, which measures the degree to which two variables are linearly related. If there is a perfect linear relationship with positive slope between the two variables, we have a correlation coefficient of 1; if there is a positive correlation, whenever one variable has a high (low) value, the other does also. If there is a perfect linear relationship with negative slope between the two variables, we have a correlation coefficient of -1; if there is a negative correlation, whenever one variable has a high (low) value, the other has a low (high) value. A correlation coefficient of 0 means that there is no linear relationship between the variables.
Syntax
Correlation(Indep,Dep,Length)
Returns (Double)
A numeric value between 1 and –1 for the current bar.
Parameters
| Name | Type | Description |
| Indep | Numeric | Specifies which independent bar value (price, function, or formula) to be considered when calculating the correlation. |
| Dep | Numeric | Specifies which dependent bar value (price, function, or formula) to be considered when calculating the correlation. |
| Length | Numeric | Set the number of bars to consider in the correlation coefficient. |
Remarks
The input parameters Indep and Dep can be a bar value such as Close, High, Low, Open, or Volume. They can also be any mathematical calculation such as High + Low) / 2, or a numeric function such as RSI, Stochastic, or ADX.
The value for the Length input parameter should always be a whole number greater than 0.
Example
Assigns the Correlation of 2 symbols over 20 bars to Value1; the Close of data1 to the Close of data2, then plots a ShowMe on the High when Value1 is greater than .75:
Value1 = Correlation (Close of Data1, Close of Data2, 20);
if Value1 > .75 then
Plot1(High, "Corr");