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Cross-Correlation Lead/Lag Analyzer

Cross-Correlation Lead/Lag Analyzer (XCorr)

Discover which instrument moves first with advanced cross-correlation analysis.

This indicator analyzes the lead/lag relationship between any two financial instruments using rolling cross-correlation at multiple time offsets. Perfect for pairs trading, market timing, and understanding inter-market relationships.

Key Features:

Universal compatibility - Works with any two symbols (stocks, futures, forex, crypto, commodities)
Multi-timeframe analysis - Automatically adjusts lag periods based on your chart timeframe
Real-time correlation table - Shows current correlation values for all lag scenarios
Visual lead/lag detection - Color-coded plots make it easy to spot which instrument leads
Smart "Best" indicator - Automatically identifies the strongest relationship

How to Use:

Set your symbols in the indicator settings (default: NQ1! vs RTY1!)
Adjust correlation length (default: 20 periods for smooth but responsive analysis)
Watch the colored lines:
• Red/Orange: Symbol 2 leads Symbol 1 by 1-2 periods
• Blue: Instruments move simultaneously
• Green/Purple: Symbol 1 leads Symbol 2 by 1-2 periods
Check the table for exact correlation values and the "Best" relationship

Interpreting Results:

Correlation > 0.7: Strong positive relationship
Correlation 0.3-0.7: Moderate relationship
Correlation < 0.3: Weak/no relationship
Highest line indicates the optimal timing relationship

Popular Use Cases:

Index Futures: NQ vs ES, RTY vs IWM
Sector Rotation: XLF vs XLK, QQQ vs SPY
Commodities: GC vs SI, CL vs NG
Currency Pairs: EURUSD vs GBPUSD
Crypto: BTC vs ETH correlation analysis

Technical Notes:
Cross-correlation measures linear relationships between two time series at different time lags. This implementation uses Pearson correlation with adjustable periods, calculating correlations from -2 to +2 period offsets to detect leading/lagging behavior.

Perfect for quantitative analysts, pairs traders, and anyone studying inter-market relationships.

Skrypt open-source

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Skrypt open-source

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