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Indicatori

Pearson coefficient - indicatore per MetaTrader 5

Visualizzazioni:
6425
Valutazioni:
(18)
Pubblicato:
2018.09.16 20:50
Aggiornato:
2018.11.23 09:20
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The definition:

Pearson's correlation coefficient is the covariance of the two variables divided by the product of their standard deviations. The form of the definition involves a "product moment", that is, the mean (the first moment about the origin) of the product of the mean-adjusted random variables; hence the modifier product-moment in the name.More information you can find here : https://en.wikipedia.org/wiki/Pearson_correlation_coefficient

This version:

This version allows us to calculate the coefficient on the symbol itself as well as to calculate the correlation coefficient of two symbols.

  • When "Second symbol" parameter is set to empty value, current chart symbol is used. In this case the "Lag" parameter must be set to some value greater than 0 otherwise the result will always be 0
  • When "Second symbol" parameter is set to some valid symbol different than the current symbol chart, that symbol is used. In this case the "Lag" parameter should be set to 0  (to calculate the correlation corresponding bars) but you can introduce lag too, keeping in mind that the second symbol data is really lagged in that case

Usage:

As any correlation indicator - when the expected correlation is deviation, that can be used as a signal to take appropriate action (in correlation trading style)

Example(s):

Current symbol with 1 bar lag


Foreign symbol with 0 bar lag



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