-Correlation Coefficient with Dynamic Average R (shows R average for the visible chart only, changes as you zoom in or out)
-Label: Vis-Avg-R = Visable Average R
-the Correlation Coefficient function for Pearson's R is taken from "BA🐷 CC" indicator by @balipour (highly recommended; more thorough treatment of R and other stats, but without the dynamic average)
-I wrote this primarily to add a dynamic Average R, showing correlation for arbitrary start times/end times; whether it be the last month, last year, of some specific period from the past (backtest mode)
-I have been using this to get an idea of correlation regimes over time between Bonds vs Stocks ( ZB1! vs ES1! ).
-As you see from the above, most of 2022 has seen an unusually strong positive correlation between Bonds and Stocks
~~inputs:
-lookback length for calculation of R
-Backtest mode (true by default): displays Average R for ONLY the visible range displayed on any part of chart history (LHS to RHS of screen only)
-source for both Ticker and compared Asset (close, open, high, low, ohlc4.. etc)
~~some other assets worth comparing:
Aussie vs Gold ; Aussie vs ES; Btc vs ES; Copper vs ES
-Label: Vis-Avg-R = Visable Average R
-the Correlation Coefficient function for Pearson's R is taken from "BA🐷 CC" indicator by @balipour (highly recommended; more thorough treatment of R and other stats, but without the dynamic average)
-I wrote this primarily to add a dynamic Average R, showing correlation for arbitrary start times/end times; whether it be the last month, last year, of some specific period from the past (backtest mode)
-I have been using this to get an idea of correlation regimes over time between Bonds vs Stocks ( ZB1! vs ES1! ).
-As you see from the above, most of 2022 has seen an unusually strong positive correlation between Bonds and Stocks
~~inputs:
-lookback length for calculation of R
-Backtest mode (true by default): displays Average R for ONLY the visible range displayed on any part of chart history (LHS to RHS of screen only)
-source for both Ticker and compared Asset (close, open, high, low, ohlc4.. etc)
~~some other assets worth comparing:
Aussie vs Gold ; Aussie vs ES; Btc vs ES; Copper vs ES
Informacje o Wersji:
-changed default to: backtest mode OFF.
-added tooltip (if backtest mode is ON while there is white-space on right hand side of chart, then value will return NaN)
-change default asset to compare to DXY dollar index
-added tooltip (if backtest mode is ON while there is white-space on right hand side of chart, then value will return NaN)
-change default asset to compare to DXY dollar index
Informacje o Wersji:
-Ignore previous release note regarding backtest mode:
--Fixed error in code so that backtest mode always prints correct number (not NaN).
--backtest mode enabled by default: Average R shown for visible chart only
--Fixed error in code so that backtest mode always prints correct number (not NaN).
--backtest mode enabled by default: Average R shown for visible chart only
All my Indicators are free/open source. If you like, you can buy me a coffee here:
PayPal.Me/twingall
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www.tradingview.com/gopro/?share_your_love=twingall
PayPal.Me/twingall
BTC: 3JrhUwNRnKyqhaa1n1AXKeAubNeEFoch6S
ETH: 0x4b0400B1c18503529ab69611e82a934DDe4Ab038
www.tradingview.com/gopro/?share_your_love=twingall