Correlations revisited ... - page 12

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limprobable:

Hello,

Is it possible to have the correlation between FR40EUR (Cac 40 french CFD) and DE30EUR (dax CFD) ?


and is it possible to have on the same chart these 2 stock index ?

Green pips to you

limprobable

You can use the latest indicator-to-indicator and you can use any symbol you have in your market watch then. Here is your example (just tested it with two indicators - not even opened those charts as you can see, so even like that you can see them)


Or you can use the correlations indicator from the start of the thread to use any of the supported correlation calculations for those two symbols

For displaying those two on the same chart you can use the indicator from this post : https://www.mql5.com/en/forum/185239/page25

 
mladen:

New version of (metatrader 5) Rank (auto)correlation posted here : https://www.mql5.com/en/forum/179671/page10


That looks good. Thanks :)
 

Been looking for this, and since could not find it, adding covariance here ( as a kind of correlation - since it is logically belonging here)

Basic description would be :

In probability theory and statistics, covariance is a measure of the joint variability of two random variables.[1] If the greater values of one variable mainly correspond with the greater values of the other variable, and the same holds for the lesser values, i.e., the variables tend to show similar behavior, the covariance is positive.[2] For example, as a balloon is blown up it gets larger in all dimensions. In the opposite case, when the greater values of one variable mainly correspond to the lesser values of the other, i.e., the variables tend to show opposite behavior, the covariance is negative. If a sealed balloon is squashed in one dimension then it will expand in the other two. The sign of the covariance therefore shows the tendency in the linear relationship between the variables. The magnitude of the covariance is not easy to interpret. The normalized version of the covariance, the correlation coefficient, however, shows by its magnitude the strength of the linear relation.

https://en.wikipedia.org/wiki/Covariance


Files:
Covariance.mq4  3 kb
 
mladen:

Been looking for this, and since could not find it, adding covariance here ( as a kind of correlation - since it is logically belonging here)

Basic description would be :


Any mt5 version for this?
 
sebastianK:
Any mt5 version for this?
I am not sure. Will check
 
mladen:

I threw together quickly a couple of built in indcators in this version (you shall see that it is very easy to extend the used indicator in the code)

ATTENTION: Video should be reuploaded
PS: just to remind : if both symbols are the same, then the correlation will always yield a perfect positive correlation and the result will always be 1. To have valid comparison, the symbols must be different

Is this ( multi-indicator-price- correlation) with spearman rank (auto)correlation?
 
nevar:
Is this ( multi-indicator-price- correlation) with spearman rank (auto)correlation?
It's a 2-pairs-1-indicator-correlation with spearman rank (cross)correlation, I guess.
 
nevar:
Is this ( multi-indicator-price- correlation) with spearman rank (auto)correlation?
It is Pearson ... :)
 

I see :)

Same idea possible with spearman rank (auto)correlation?

 
nevar:

I see :)

Same idea possible with spearman rank (auto)correlation?

You mean cross-correlation. Auto-correlation is the correlation of a signal with a shifted itself, e.g. an echo. 
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