Shows how often and how much the underlying security deviates from the base stock.
Indices that help in the selection of securities:
Lst10 - last 10(long factor parameter) periods average
Aver - fulltime averaged
pwr - total deviation area from base
ust - unstability (drawdown index)
cor - percent of positive bars
cross - fulltime averaged deviation
This indicator is engineered to make relational analysis much easier.
If you used another window for each symbol, you would have to resize them all one by one. You don't need another timescale.
There are three modes:
► Independent - selected symbol candles are colored on their own.
► Correlational - selected symbol candles are colored depending on their...
Volume is one piece of information that is often neglected, however, learning to interpret volume brings many advantages and could be of tremendous help when it comes to analyzing the markets. In addition to technicians, fundamental investors also take notice of the numbers of shares traded for a given security.
What is Volume?
The volume represents all the...
Indicator translation to Pinescript requested by cookie_crusher on Twitter. The "RSI With Noise Elimination Technology" (NET) is an indicator developed by John Elhers.
The indicator is simply a rolling Kendall rank correlation coefficient of a normalized momentum oscillator (a version of the RSI introduced by Elhers in the May 2018 issue of Stocks &...
Display the correlation coefficient and/or Beta of an asset to a specified market.
- Specify market (S&P500 futures by default)
- Display one or other metrics
- Modify assessment period (200 bars by default)
- Calculate on price, returns or log-returns
This script allows you to compare the percentage-based change in the price of any two securities on any given (and supported) timeframe on the chart. This can give you a very simple way to compare any two securities against one another.
Ex: If your base security gained 5%, and the other security gained 3% in a single day, the change comparison would show a green...
The inverse fisher transform or hyperbolic tangent function is a type os sigmoid function (sometime called squashing function) , those types of functions can rescale a result in a certain range and are widely used in artificial intelligence. More in depth the fisher transform can make the correlation coefficient of a time series normally...
I have been sitting on this for over a year, but I now present this "Voss Predictive Filter" multicator employing PSv4.0 upon initial release, originally formulated by the great and empowering Dr. John Ehlers for TASC - August 2019 Traders Tips. This is a slightly modified version of the original indicator John Ehlers designed. My improved implementation is an...
Pearson correlation coefficient measures the linear correlation between two variables. It has a value between +1 and −1, where 1 is total positive linear correlation, 0 is no linear correlation and −1 is total negative linear correlation. It’s often denoted by r for sample correlation and ρ for population correlation.
Note: Pearson Correlation only measures...
DGT interpreted version of LazyBear's WaveTrend, visualizing on Price Chart
Original Author : LazyBear
Crosses above or below threshold are emphasized with bigger labels
- crosses above threshold : probable short indications with a bigger label and relativly small label for probable long indications
- crosses below threshold : probable long indications with a...
A good amount of users requested a text box showing various price statistics, the following script returns various of these stats in a user-selected range, and include classical ones such as a central tendency measurement (mean), dispersion (normalized range) and percent change, but also include less common statistics such as average traded volume and number of...
Hot off the press, I present this "Correlation Cycle, CorrelationAngle, and Market State" multicator employing PSv4.0, originally formulated by Dr. John Ehlers for TASC - June 2020 Traders Tips. Basically it's an all-in-one combination of three Ehlers' indicators. This power packed triplet indicator, being less than a 100 line implementation at initial release, is...
Autocorrelation, also known as serial correlation, is the correlation of a signal with a delayed copy of itself as a function of delay.
This indicator displays autocorrelation based on lag number. The autocorrelation is not displayed based on time on the x-axis. It's based on the lag number which is from 1 to 50. The calculations can be done with "Log...
Indicator tracks the 10 day correlation with VIX. I prefer to use this with SPY. Can be a great way to flag tops/melt-ups.
Default settings are set to when the correlation is above 0.2, bars turn red, but you can change this.
Hot off the press, I present this "Correlation Trend Indicator" employing PSv4.0, originally formulated by Dr . John Ehlers for TASC - May 2020 Traders Tips. John Ehlers might describe it's characteristics as being a mean reverting trend identification oscillator range bound to +/-1.0 irregardless of any timeframe or asset. I could have finessed this indicator...
Correlation Based Pair Trading Strategy (Trading the spread)
There are three popular styles of Pair trading:
* Distance based pair trading
* Correlation based pair trading
* Cointegration based pair trading
The correlation based strategy is to short the outperforming instrument and go long on the underperforming one
whenever the temporary correlation weakens...
I'm pleased to introduce this script in honor of the new array functions introduced to PineScript version 4.0. This update is a long time coming and opens the door to amazing scripting possibilities!
Named after Charles Spearman and denoted by the Greek letter ‘ ρ ’ (rho), the Spearman rank correlation coefficient is the nonparametric version of...