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Jayson:
I believe the formula I'm experimenting with is Anthony's R square.
Regarding periods, the help file says:
SYNTAX correlation( ARRAY1, ARRAY2, periods )
RETURNS ARRAY
FUNCTION Calculates correlation between ARRAY1 and ARRAY2 using
periods range
EXAMPLE correlation( close, ref( close, -5 ), 5 ); - this calculates
correlation between close price and and close price 5 days back.
I was interpreting that as a comparison of only 2 periods and not
every bar in between them. Are you saying that a period of say 21 is
looking at the whole 21 bars?
Here's the whole formula FYI:
//***Base Market************/
Mkt="dia";
//Must be enclosed in "....."Quotations.
P=Foreign(Mkt,"C",1);
Periods1=21;//Set the period of Observation
Periods2=100;//Set the period of Observation
/***R-Squared*****************/
R1=Correlation(P,C,Periods1)^2;
R2=Correlation(P,C,Periods2)^2;
Filter= R1>0.75 AND R2 >0.75;
AddColumn(R1,"r21",1.2);
AddColumn(R2,"r100",1.2);
TIA,
Dominick
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