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Ara,
I have tried this:
TimeFrameSet(inMonthly);
Filter = C>0;
fsym = Foreign( myIndex, "C" );
Corr = Correlation( C, fsym, -1 );
AddColumn( Corr, "Corr", 8.5);
TimeFrameRestore();
And I have set the settings time frame in the AA settings window to monthly as well. The dates in the exploration column show the correct dates for calculation but the values are all greater than 1 which I didn't think was possible with a correlation study. I have only seen the range between -1 and +1. So I am not certain that this is giving me a correct solution.
The solution you proposed, I think, still does not give me the correlation of the entire array, monthly, daily or otherwise. I would give be an array of weekly correlations and not the correlation scalar of the entire subset of month end values. Unless I am still misunderstanding.
Jack
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>
> Try using your formula of:
> Correlation( Close, Ref( Close, -5 ), 5 );
>
> on daily data, that compress resulting array to monthly for your final use.
>
>
> ----- Original Message -----
> From: "slipthruthecracks" <slipthruthecracks@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, November 23, 2009 11:01 AM
> Subject: [amibroker] Another Correlation question
>
>
> >I have read as many threads about correlation as the yahoo search engine
> >will give me before crapping out repeatedly and I am still puzzled on how
> >to do the following.
> >
> > from the AB help files:
> >
> > // Correlation between Close price AND AND Close price 5 days back
> > Correlation( Close, Ref( Close, -5 ), 5 );
> >
> > I am computing the monthly ROC from monthend to monthend for a fund and
> > and index and would like to calculate the correlation of the entire array
> > of fund ROC and index ROC across all the monthend data.
> >
> > I am trying to do this as follows:
> > //Create an array with true on month end days
> > Monthend =Month() != Ref(Month(), 1);
> > //count how many month ending dates there are for the data
> > totmonths = Cum(Monthend);
> > //Find the array index value of the first month end day
> > startday = 0;
> > for(m = 0; m < 1; m++)
> > {
> > if (Monthend[m] == 0)
> > startday++;
> > }
> > Filter = Monthend;
> > fsym = Foreign( AnySymbol, "C" );
> > idxroc = 0;
> > symroc = 0;
> > totcount = 0;
> > //get a starting value on the first month end date for the fund and //the
> > index
> > symprevval = C[startday];
> > idxprevval = fsym[startday];
> > //start a loop on the next day after the first month end date
> > for(d = startday + 1;d <= BarCount -1;d++)
> > {
> > if(Monthend[d] == 1) //It is a month end day
> > {
> > idxroc[totcount] = ((C[d]/idxprevval) - 1); //ROC from month end to month
> > end and assign to an array
> > symroc[totcount] = ((fsym[d]/symprevval) - 1); //ROC from month end to
> > month end and assign to an array
> > //record the current value as the previous value for the
> > next loop calculations
> > idxprevval = C[d];
> > symprevval = fsym[d];
> > totcount++; //keep track of the total month end calc so far
> > }
> > }
> > Corr = Correlation( idxroc, symroc, -totcount );
> > // I have tried this one below as well with similar results.
> > //Corr = Correlation( idxroc, symroc, -1 );
> > AddColumn( Corr, "Corr", 8.5);
> >
> > My problem is (I think), that I am trying to calculate a scalar while the
> > Correlation function is calculating a vector. Not only that, but the
> > exploration is returning a -1.#INFO value in the column. I am also not
> > certain that the number the correlation function will return is a
> > correlation of the entire range or if it is only calculating the
> > correlation between each value and the value x bars back.
> >
> > Jack
> >
> >
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
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TO GET TECHNICAL SUPPORT send an e-mail directly to
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