[amibroker] Re: Non-correlated markets in AB

["reefbreak_sd" <reefbreak_sd@xxxxxxxxx>]

I don't remember where I got this, but it runs an arbitrary watch list against itself to get a correlation matrix

ReefBreak

// Exploration to create Correlation matrix original by Herman Van Ven Bergen 
// In AutoAnalyzer, set Apply to -> Use Filter -> WatchList to same list as Param -> ListNumber (zero based)
// Then set LookBackPeriods
// Modified by ReefBreak
// April, 2008

Listnumber      = Param("Listnumber",1,1,263,1);
LookBackPeriods = Param("Lookback Periods",3,1,252,1);

Buy=Sell=Short=Cover=0;
Filter = 1;

list = GetCategorySymbols( categoryWatchlist, Listnumber);

for( NumTickers=0; NumTickers < 99 AND StrExtract( list, NumTickers ) != ""; NumTickers++ );
	{
		//AddTextColumn(Name(),"Ticker",1.0);
		for( Col=0; Col<NumTickers; Col++)
			{
			Ticker1 = Name();
			Ticker2 = StrExtract( list, Col);
			Var1 = Foreign(Ticker1,"C");
			Var2 = Foreign(Ticker2,"C");
			Test = Correlation( Var1, Var2, LookBackPeriods );
			Color = IIf(Test>0, colorGreen, IIf(Test<0, colorRed, colorWhite));
			Color = IIf(Ticker1==Ticker2, 1, color);
			AddColumn( Test, Ticker2, 1.3, color);
			}
	} 

--- In amibroker@xxxxxxxxxxxxxxx, Rajiv Arya <rajivarya87@xxx> wrote:
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> correlation function
> 
> To: amibroker@xxxxxxxxxxxxxxx
> From: joseph_occhipinti@xxx
> Date: Thu, 7 Jan 2010 18:46:49 -0800
> Subject: [amibroker] Non-correlated markets in AB
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> Hi all
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> Im in the process of looking into a couple of different trading strategies in commodities. I am keen to trade a basket of commodties simultaneously but i am mindful of not chosing a group that are strongly correlated (say 80%+), be it positively or inversely. 
> 
> My question to AB users is as follows - is there a function in AB that allows me to gauge such information? 
> 
> Or is it merely a case of eyeballing several charts and overlaying them on each other?
> ieal scenario would be to trade say 8 - 10 markets, all mostly uncorrelated
> 
> could be:
> 5 commodities;
> 3 FX;
> 2 indicies.
> 
> Cheers
> Joe
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