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Correlation Analyzer

This script analyzes all symbols in Market Watch for a set timeframe. The result is displayed on the Experts tab and in the specified file. For more convenient viewing and editing, the result is displayed in a csv file.

For the calculation, the Pearson formula is used.

The value of the correlation coefficient of pairs close to 1 means that the pairs move almost identically. A value close to -1 means that the pairs move in the same way.

This tool will be useful to those who use hedging due to the movement of other pairs.

Parameters:

glubanal - Depth analysis in bars

InpFileName - output file name

InpDirectoryName - output directory

precision - increased accuracy (using OHLC instead of O), increases the accuracy of calculations, but loads the processor and network more heavily for the time of calculations

spreadmax - maximum spread for calculation

ValuesSeparator - separator character of received values

ShadowFinder - the number of bars to determine the lagging / leading shadow. At negative values ​​it will mean that the shadow should be ahead of the main pair.

AverageMethod - averaging methods for calculating the correspondence according to the Pearson formula

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Nork
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Nork 2016.03.20 04:07 
 

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Rodrigo da Silva Boa
7137
Rodrigo da Silva Boa 2016.01.18 03:12 
 

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[Supprimé] 2014.05.16 10:20 
 

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Vadim Strelkov
7710
Vadim Strelkov 2014.04.08 12:47 
 

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Version 1.3 2020.01.21
Добавлена модифицированная формула Пирсона , дающая более верный результат в большинстве случаев.
Добавлен параметр для переключения между оригинальной формулой и модифицированной.
Добавлен поиск тени - пары отстающей на некоторое количество баров от основной.
Добавлен параметр отвечающий на какое количество баров тень должна опережать основную пару или опаздывать.
Version 1.2 2020.01.15
Теперь расчёт ведётся для таймфреймов M1,M5,M10,M30,H1,H4,H8,H12,D1,W1,MN1.
Добавлен параметр ValuesSeparator позволяющий указать символ-разделитель значений в получившейся таблице.