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Mike and Bruce,
Thanks very much for your comments.
They've got me on the right track.
- Progster
P.S. - That's a slick trick with Cum( A - A + 1) to get the length of
the various arrays!
--- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@xxx> wrote:
>
> 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@> 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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