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All arrays have same size equal to BarCount.
Alternativelly you can use LastValue(BarIndex())
Using Cum() is not recommended to find out the size
is not necessary and not recommended because it will
effectivelly turn off QuickAFL and slow down the formula.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "whitneybroach" <WhitneyBroach@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, July 09, 2009 11:54 PM
Subject: [amibroker] Re: How to Calculate Correlation Across Entire Array Length?
> Progster,
>
> If feasible to share, what did you finally use?
>
> Best regards,
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "progster01" <progster@xxx> wrote:
>>
>> 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@> 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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>
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