[amibroker] Re: How to Calculate Correlation Across Entire Array Length?

["bruce1r" <brucer@xxxxxxxxx>]

Progster -

I assume that you posted this because you ran into a problem.  I
suspect that it is related to an old debate about the "period" parm to
the correlation function.  When you run into these type of issues, I'd
suggest using explores and looking for boundary effects.  For example,
a 10 period correlation needs 11 bars for the first value.  That means
to get a correlation of full length N, you'd use N-1 for the parm.  I
interpret it as a lookback, but this is a old AB debate.


Anyway, here's that example for #1 -

indexname = "DIG";
index = Foreign( indexname, "C" );

Lenc = LastValue( Cum( C - C + 1 ) );
Leni = LastValue( Cum( index - index + 1) );

//  Show the boundary effect on 2/16/07
res1 = Correlation( C, index, 10 );

//  This gives the correlation over the full length of the shortest array
//res1 = Correlation( C, index, Min( Lenc, Leni ) - 1 );

Filter = 1;
AddColumn( C, Name( ), 8.5 );
AddColumn( index, indexname, 8.5 );
AddColumn( Leni, "LENI", 5.0 );
AddColumn( res1, "CORRELATION", 8.5 );



--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> What about option 1 expressed something like this?
> 
> LastValue( Correlation( A, B, LastValue(Cum(1) ) );
> 
> Mike
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "progster01" <progster@> wrote:
> >
> > Hi.  Can anyone suggest an AFL construction that would provide a
> > calculation of the correlation of 2 arrays across their entire 
> length?
> > 
> > Considering 2 arrays, A and B, either of these final results would be
> > desirable:
> > 
> > 1.  a single number, measuring the correlation of A and B over their
> > entire length
> > 
> > 2.  an array C, same length as A and B, where each element of C
> > measures the correlation between A and B over the length "up to that
> > point".
> >
>




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