Hi,
I have this question about Rsquared.
I used the following code to calculate it:
// variable-period Correlation
function CorrV( x, y, range )
{
avX = MA( x, range );
avY = MA( y, range );
avXY = MA( x * y, range );
ssqrX = Sum( x * x, range );
ssqrY = Sum( y * y, range );
VarX = Max( ssqrx/range - avX * avX, 0 );
VarY = Max( ssqry/range - avY * avY, 0 );
return Nz( ( avXY - avX * avY ) / sqrt( VarX * VarY ) );
}
// variable-period R squared
function RSquaredV( array, range )
{
return CorrV( BarIndex()+1, array, range ) ^ 2;
}
The problem is shown in the image I just attached. If you look at the last graph at the bottom of the image, the first orange line at the bottom is a 0.80 correlation. This line has a correlation over 0.85, which is very good. However, it is clear to the eye that the close or the HHV was NOT taken into account; instead it seems like it is the next bar that is taken into account. So I get a result that should not show any correlation at all!
How do you think I could correct this?
Thanks,
Louis