code for correlation

[Loren Chapman <ljchapm1@xxxxxxxxxxxxxxxxx>]

Rus Newton is certainly correct in pointing out that the correlation
function in TS4.0 is wrong.  This seems surprising since the code for the
closely related regression of Variable y on Variable x is correct for the
special case in which Variable x is bar number.  The following code for
correlation was written by Geoffrey Ihle, who was then my programmer.  I
believe it to be correct.  It is a shorter code than would be needed for
some of the more complex, but algebraically equivalent ,computational
formulas.-   Lorenzo

{ GCORRELAT2 -- Calculates CORRELATION COEFFICIENT BETWEEN
	INDEP AND DEP (THE INDEPENDENT AND DEPENDENT VARIABLES)
	OVER "LENGTH" BARS.
	WRITTEN 3/22/97}

inputs: INDEP(NUMERICSeries), DEP(NumericSeries), LENGTH(NUMERIC);
Vars: CTR(0), AVEX(0), AVEY(0), SXX(0), SYY(0), SXY(0);

AVEX = AVERAGE(INDEP, LENGTH);
AVEY = AVERAGE(DEP, LENGTH);

SXY = 0; 
SXX = 0;
SYY = 0;

{PRINT(" ");
print(Indep[Length-1], Dep);
print(Average(Indep,Length));
PRINT("AVERAGE X = ", AVEX:4:4, " AVERAGE Y = ", AVEY:4:4);
}
FOR CTR = 1 TO LENGTH BEGIN
{	PRINT("INDEP = ", INDEP[LENGTH-CTR]:4:4, " DEP = ", DEP[LENGTH - CTR]:4:4);}
	SXY = SXY + (INDEP[CTR-1] - AVEX) * (DEP[CTR-1] - AVEY);
	SXX = SXX + (INDEP[CTR-1] - AVEX) * (INDEP[CTR-1] - AVEX);
	SYY = SYY + (DEP[CTR-1] - AVEY) * (DEP[CTR-1] - AVEY);
	END;

{PRINT("SXX = ", SXX:4:4, " SYY = ", SYY:4:4, " SXY = ", SXY:4:4);
}
IF SXX <> 0 AND SYY <> 0 THEN
	GCORRELAT2 = SXY/(SQUAREROOT(SXX) * SQUAREROOT(SYY))
	ELSE
	GCORRELAT2 = 0;