Correlation - correlation

Statistical functions
(AmiBroker 3.40)

 SYNTAX correlation( ARRAY1, ARRAY2, periods ) RETURNS ARRAY FUNCTION Calculates correlation between ARRAY1 and ARRAY2 using periods range For more information about correlation please check this: EXAMPLE // the line below calculates // Correlation between Close price AND AND Close price 5 days back Correlation( Close, Ref( Close, -5 ), 5 ); // Built-in correlation can be re-coded with // basic AFL functions like MA (moving average) - which // is equivalent for "expected value" statistic term // and few basic arithmetic operations function Correl( x, y, number ) { nom= MA( x * y, number ) - MA( x, number ) * MA( y, number ); denom = sqrt( MA( x ^ 2, number ) - MA( x, number ) ^ 2 ) * sqrt( MA( y ^ 2, number ) - MA( y, number ) ^ 2 ); return nom/denom; } Graph0=Correlation( C, Ref( H, -2 ), 10 ); // built-in Graph1=Correl( C, Ref( H, -2 ), 10 ); // re-coded; SEE ALSO

References:

The Correlation function is used in the following formulas in AFL on-line library: