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Try this - Adjust the time period to what you are looking for
Jason
// Exploration to create
//Correlation matrix
// Be sure to set
//"Apply to" to desired wishlist Name
// Also, change the
//watchlist number ("2" in example below) to the correct number
//(zero based).
Buy=Sell=Short=Cover= 0;
Filter = C > .01;
AddTextColumn (FullName(),"Ticker",1.0);
list =
GetCategorySymbols (
categoryWatchlist,
5 );
for (
NumTickers= 0; NumTickers < 99 AND StrExtract(
list, NumTickers ) !=
"" ;
NumTickers++ );
for (
Col= 0;
Col<NumTickers; Col++)
{
Ticker1 =
Name ();
Ticker2 =
StrExtract ( list, Col);
Var1 =
ROC (Foreign(Ticker1, "C"), 1);
Var2 =
ROC (Foreign(Ticker2,"C"),1);
Test =
Correlation ( Var1, Var2,
180 );
Color =
IIf (Test>.45,
colorBrightGreen,
IIf (Test<0,
colorRed,
colorYellow));
Color =
IIf (Ticker1==Ticker2,
1 , Color);
AddColumn ( Test,
Ticker2, 1.3,
1 , Color);
} jeremy7827110028 <jberkovits1@xxxxxxxxxx> wrote:
I have a watch list with 5 stocks. I am trying to code a correlation
matrix that reports the correlation for each pair for the last 10, 30,
90, and 252 bars. I am new to AmiBroker and have no clue on how to
approach this one. Any help would be greatly appreciated.
Regards,
Jeremy
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