BB % Correlation
BB% of Correlation, is the indication frequently used by Quant Traders to define the momentum for their Arbitrage Trading Strategy. If anyone here is a Quant Trading and find this is not a correct script, please feel free to fix it, because I am not a programer. Thank you.
study(title = "BB % Correlation", shorttitle = "BB % Correl") source = hlc3 //length = input(14, minval=1, title="RSI Period") //corlength = input(30, minval=1, title="Correlation Period) bblength = input(20, minval=1, title="BB Period") mult = input(2.0, minval=0.001, maxval=50, title="StdDev") HighlightBreaches=input(false, title="Highlight Oversold/Overbought?", type=bool) //Define RSI //rsi_s = rsi(source, length) //Define Correlation sym = input(title="Symbol", type=symbol, defval="XAUUSD", confirm=true) src = input(close, title="Source") //corlength = input(20, minval=1) corlength = input(30, minval=1, title="Correlation Period") res=period ovr = security(sym, res, src) correl = correlation(src, ovr, corlength) // BB of RSI basis = sma(correl, bblength) dev = mult * stdev(correl, bblength) upper = basis + dev lower = basis - dev bbr = (correl - lower)/(upper - lower) plot(bbr, color=teal) band1 = hline(1, color=gray, linestyle=dashed) band0 = hline(0, color=gray, linestyle=dashed) fill(band1, band0, color=teal) //p1 = plot(upper, color=blue) //p2 = plot(lower, color=blue) //fill(p1,p2, blue) b_color = (correl > upper) ? red : (correl < lower) ? green : na //b_color = (bbr > band1) ? red : (bbr < band0) ? green : na bgcolor(HighlightBreaches ? b_color : na)