[amibroker] Email alert and firewall, AmiBroker Email List Archive

Tomasz,

Chuck’s explanation, and your formula and code below look like a good candidate for the KB.

Regards,

Dan.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
Sent: Thursday, March 09, 2006 4:23 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] What is Correlation

Hello,

Built-in correlation is calculated according to this formula:

$\rho_{X,Y}=\frac{E(XY)-E(X)E(Y)}{\sqrt{E(X^2)-E^2(X)}~\sqrt{E(Y^2)-E^2(Y)}}$

It can be re-coded in AFL as:

function Correl( x, y, number )
{
nom= MA( x * y, number ) - MA( x, number ) * MA( y, number );
denom = sqrt( MA( x ^ 2, number ) - MA( x, number ) ^ 2 ) *
sqrt( MA( y ^ 2, number ) - MA( y, number ) ^ 2 );
return nom/denom;
}

Graph0=Correlation( C, Ref( H, -2 ), 10 ); // built-in

Graph1=Correl( C, Ref( H, -2 ), 10 ); // re-coded;

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: "Graham" <kavemanperth@xxxxxxxxx>

To: "amibroker" <amibroker@xxxxxxxxxxxxxxx>

Sent: Thursday, March 09, 2006 8:29 AM

Subject: [amibroker] What is Correlation

> Can anyone tell me what Correlation is actually calculating
> I have read the description in help files but am still confused what
> it is actually calculated.
> In what way is it actually comparing the 2 arrays.
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
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