twingall

Correlation Coefficient: Visible Range Dynamic Average R

twingall Aggiornato   
-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
Note di rilascio:
-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
Note di rilascio:
-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
Note di rilascio:
-added optional manual mode: show CC (plot and label) based on manual input bars lookback. Default is OFF.

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Script open-source

Nello spirito di condivisione promosso da TradingView, l'autore (al quale vanno i nostri ringraziamenti) ha deciso di pubblicare questo script in modalità open-source, così che chiunque possa comprenderlo e testarlo. Puoi utilizzarlo gratuitamente, ma il riutilizzo del codice è subordinato al rispetto del Regolamento. Per aggiungerlo al grafico, mettilo tra i preferiti.

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Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.

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