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Quite easy. Open IYR, put the symbol for SPX into "symbol" or the parameter
box, and choose the period. If you want r^2, just square stdCorr.
symbol = ParamStr("Symbol", "SPX");
periodCorr = Param("Correlation Period", 300, 3, 500, 1);
stdCorr = Correlation(C, Foreign(symbol, "Close"), periodCorr);
Plot(stdCorr, "stdCorr", colorRed);
----- Original Message -----
From: "longarm61" <norm1@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 14, 2006 1:13 PM
Subject: [amibroker] Calculating Correlation
>
> Hello,
>
> I would simply like to calculate the correlation between
> various ETFs in my stable against the S&P 500. How, for
> example, would I get the correlation for IYR against SPX.X,
> going back 300 days? I've looked at the AFL formula for
> Correlation and I've dug through some posts on this group,
> but I still can't figure out exactly how to do it, being a
> complete AFL doofus. If someone would be kind enough to
> post the code and briefly tell me how to initiate it, I
> would greatly appreciate it.
>
> Thanks!
>
> NH
>
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
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> For other support material please check also:
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