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I'm reposting because I think I confused everyone with my
terminology.
How can I get the following code to work. The correlation function
at the bottom of the code is giving a syntax error when I use a
variable in the length.
SIG = Foreign("~SIGNAL","C");
FUND = C;
INDEX = Foreign("$RUT","C");
BARSTART = ValueWhen(SIG == 1 AND Ref(SIG != 1,-1),BarIndex(),3);
VLBRAW = BarIndex() - BARSTART;
/* FIND THE CLOSEST LOOKBACK PERIOD TO VBL1 LENGTH. WE WILL USE
INCREMENTS OF 126 (1/2 OF 252 DAY YEAR) TO DO THIS.
VLBRAW = GET RAW VLB NUMBER AS VECTOR
VLB = USING IIF, FIND CLOSEST FIT.
*/
VLBRAWFACTOR = Max(round(VLBRAW / 126),1); //WHICH MULTIPLE OF 126
IS BEST FIT?
VLB = IIf(VLBRAWFACTOR == 1, 126, IIf(VLBRAWFACTOR == 2, 252, IIf
(VLBRAWFACTOR == 3, 378, IIf(VLBRAWFACTOR == 4, 504, IIf
(VLBRAWFACTOR == 5, 630, 756)))));
//CORR CHECKS
CORR = Correlation(ROC(FUND,1),ROC(INDEX,1),VLB);
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