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> I am trying to determine correlation between market systems - am I
> correct to use the linear correlation coefficient r (from page 10 of
> Vince's Mathematics of Money Management), or should I be looking at
> something like linear regression?
Using correlation coefficient might be very misleading, when
correlating variables ranging from positive to negative values. This
is because rather small values around zero might show even negative
correlation, even if the absolute errors are very small. Moving to
_rank correlation_ gives a much better insight into the quality of
correlation in those cases.
mfg rudolf stricker
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