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Correlation

Risk Metrics: beta 'β', correl 'ρxy', stdev 'σ', variance 'σ²'Portfolio Risk Metrics (Part I): beta 'β' The beta coefficient can be interpreted as follows: β =1 exactly as volatile as the market β >1 more volatile than the market β <1>0 less volatile than the market β =0 uncorrelated to the market β <0 negatively correlated to the market excerpt from the Corporate Finance Institute correlation coefficient 'ρxy' The correlation coefficient is a value that indicates the strength of the relationship between variables. The coefficient can take any values from -1 to 1. The interpretations of the values are: -1: Perfect negative correlation. The variables tend to move in opposite directions (i.e., when one variable increases, the other variable decreases). 0: No correlation. The variables do not have a relationship with each other. 1: Perfect positive correlation. The variables tend to move in the same direction (i.e., when one variable increases, the other variable also increases). excerpt from the Corporate Finance Institute standard deviation 'σ' 68% of returns will fall within 1 standard deviation of the arithmetic mean 95% of returns will fall within 2 standard deviations of the arithmetic mean 99% of returns will fall within 3 standard deviations of the arithmetic mean excerpt from Corporate Finance Institute variance 'σ²' In investing, variance is used to compare the relative performance of each asset in a portfolio. Because the results can be difficult to analyze, standard deviation is often used instead of variance. In either case, the goal for the investor is to improve asset allocation. excerpt from Investopedia
Pine Script™ indicator
by luminaryfi
2
Alpha Performance of PeriodAlpha Performance of Period (PoP) produces a visualization of returns (gains and losses) over a quarterly, monthly, or annual period. It also displays the total % gain and loss over any length of days, months, and years as defined by the user. Performance of Period (PoP) can be used to understand the performance of an asset over multiple periods using a single chart layout, and to compare the performance of different assets by using a multi-chart layout. This can, for example, be used to compare the NASDAQ, S&P, and DJI over the past 20 years to create a dow vs. nasdaq vs. s&p performance chart. This can help you understand a comparison of historical returns by showing which performs the best month-over-month, quarter-to-quarter, year-to-year, throughout any custom period of days/months/years. The ability to get a visualization of the % gain/loss can help to better understand how markets have performed over time and which markets have historically performed the best. Check out the up and coming Educational Idea we will be releasing soon after this is live to see an example of how we use this tool. Current Period Label ----- Current Period : This label shows the current period's performance only when you hover over it. (This label is located to the left of the current period's open candle and at the current candles close price) TICKER "Time Period" Performance Label ----- Total Period Gain : The total of all % gain periods from the start to end date. Largest Period Gain : The biggest % gain period from the start to end date. Total Period Loss : The total of all % loss periods from the start to end date. Largest Period Loss : The biggest % loss period from the start to end date. Total period Performance : The total % performance, the difference between the total gain and total loss. NOTE : The "Current Period" performance is excluded from ALL five of the above-mentioned figures. This was done to avoid giving inaccurate comparison figures due to the period not being finished yet. Inputs ----- Current Script Version + Info : A drop-down list of instructions for the user to refer to. Dark Mode Labels : Toggle on for Dark Mode. This is done since Labels text and background color can not be adjusted separately within the visual inputs so this is the best fit solution. Time Period of Returns : Pick the period of performance you would like to emulate monthly/quarterly/annual. Start Date : The day to start tracking performance. Start Month : The month to start tracking performance. Start Year : The year to start tracking performance. End Date : The day to stop tracking performance. End Month : The month to stop tracking performance. End Year : The year to stop tracking performance. As always if you have any feedback let us know in the comments and leave a like if you enjoy this tool :)
Pine Script™ indicator
by AlphaBotSystem
4
WaveTrend [LazyBear] vX by DGTDGT interpreted version of LazyBear's WaveTrend, visualizing on Price Chart Original Author : LazyBear Crosses above or below threshold are emphasized with bigger labels - crosses above threshold : probable short indications with a bigger label and relativly small label for probable long indications - crosses below threshold : probable long indications with a bigger label and relativly small label for probable short indications All rest crosses within threshold boundaries with relatively small labels for both long and short probable indications
Pine Script™ indicator
by dgtrd
48
Time Range StatisticsA good amount of users requested a text box showing various price statistics, the following script returns various of these stats in a user-selected range, and include classical ones such as a central tendency measurement (mean), dispersion (normalized range) and percent change, but also include less common statistics such as average traded volume and number of gaps. The script also calculates the correlation between the closing price and another user-selected instrument. The script is currently the longest one I ever made and took some efforts, as I wasn't satisfied with the statistics to be originally included. Big thx to Gael for the enormous feedback and the idea of the normalized range, to user @Cookiecrush for the feedback ( without ya I would have posted something bad you know umu ? ), and Lulidolce for the support, friendship is magic! Selected Range The setting Start determine the bar at which the range starts, while End determine at which bar the range end. To help you select these values, the current bar number (bar index) is displayed at the right of the indicator title in blue. The setting evaluate to last bar will use a range starting at Start and ending at the last bar, as such you can use a full range by using Start = 0 and select evaluate to last bar The range is highlighted by an area on the chart. By default Start = 9000 and End = 10000, you might not have this amount of data in your chart, as such use the displayed bar index to select Start and End, then set the settings as default. Displayed Statistics The statistics panel is displayed on the right side of the last bar, the panel has 3 sections, a title section who shows the symbol ticker, timeframe, and overall trends represented by a chart emoji, the overall trends are determined by comparing the number of higher highs with the number of lower low. Below are displayed the date ranges with time format: year/month/day/hour:minute. The second section shows the general statistics. The first one is the mean, also represented by the orange line in the chart, the blue line displayed represent the highest price value in the range, while the red one represents the lowest price value. The second stat is the normalized range, and determine how spread is the price in the user-selected range, why not the standard deviation? Because the standard deviation might return results varying widely depending on the scale of the closing price, you could get measures such as 0.0156 or 16 or even 56 depending on the instrument, as such using a normalized range can be more appropriate as it lays in a range of (0,1). Lower values indicate a low degree of price variation. Note that I still want to find another measure in the future. The percentage change (or relative change) indicates at which percentage the price has increased or decreased, and is calculated by subtracting the closing at bar Start with the price at bar End , divided by the price at bar End , the result is then multiplied by 100. The average traded volume calculate the mean of the volume in the selected range, I used the same format used by the original volume indicator for clarity. Finally, the last stats of the section is the number of gaps, this stat is by default hidden. An up gap is detected when the open price is superior to the previous high, while a down gap is detected when the open price is inferior to the previous low, this allow to only retain significant gaps. The last section of the indicator panel shows the correlation between the closing price and another instrument, by default GOOG, this correlation is also calculated within the user-selected range. Positive values indicate a positive relationship, that is the two instruments tend to move in the same direction. Negative values indicate a negative relationship, both instruments tend to move in a direction opposite to each other. Values closer to 1 or -1 indicate a stronger relationship, while values closer to 0 indicate no relationship. In Summary The script shows various stats, each calculated within a user-selected range, in general one would be more interested in how these stats might evolve with time, but checking them in a custom range can be quite interesting. Thx for reading. umu
Pine Script™ indicator
by alexgrover
16
Ehlers Correlation Cycle IndicatorThe Correlation Cycle Indicator was created by John Ehlers (Stocks & Commodities V. 38:06 (8–15)) and this is technically part of three indicators in one so I'm splitting each one to a separate script. This particular indicator was designed for trend direction and trend strength and simply buy when it is green and sell when it turns red. Also keep in mind that the higher the indicator is above the signal then the stronger the trend and when they are close together, conditions get choppy. Let me know if you would like to see me publish other scripts or if you want something custom done!
Pine Script™ indicator
by cheatcountry
8
Optimal Weighted Moving AverageThe Optimal Weighted Moving Average was created by Thomas Hutchinson and Peter G. Zhang, Ph.D. (Stocks & Commodities V. 11:12 (500-505)) and it is very similar to a classic weighted moving average but it uses the correlation between the input and the optimal weighted moving average output to use as the weights. Buy when the line turns green and sell when it turns red. Let me know if you would like to see me publish any other scripts or if you want something custom done!
Pine Script™ indicator
by cheatcountry
12
Correlation Cycle, CorrelationAngle, Market State - John EhlersHot off the press, I present this "Correlation Cycle, CorrelationAngle, and Market State" multicator employing PSv4.0, originally formulated by Dr. John Ehlers for TASC - June 2020 Traders Tips. Basically it's an all-in-one combination of three Ehlers' indicators. This power packed triplet indicator, being less than a 100 line implementation at initial release, is a heavily modified version of the original indicator using novel techniques that surpass John Ehlers' original intended design. This is also a profound script in numerous ways. First of all, these three indicators are directly from the illustrious mastermind himself Dr. John Ehlers. Secondarily, this is my "50th" script published on TV, which makes it even more significant. I'm especially proud of this script to "degrees" of imagination I once didn't know was theoretically possible in code. My intellect has once again been mathemagically unlocked pondering new innovations with this code revelation. Thirdly, this PSv4.0 script shows the empowering beauty and elegance of hacking the stock markets with TV's ultra utilitarian Pine Editor(PE) in a common browser! Some of you may be wondering if I worked on this for days... nope! This only took a few hours, followed by writing this description for another hour plus. I have created many of Ehlers' indicators in PE, a few of which I have published in my profile, but I wanted to show how programming with Pine Script can be an artistic form of craftsmanship and poetry. None of this would be possible without the ingeniously minded Tradingview staff revolutionizing algorithmic trading at it's finest. If you should ever encounter them by chance, ponder humbly thanking these computing wizards for their diligence and dedication. They are providing, and shall award to us members, some of the most fascinating conceptualized tech imaginable in the coming future. I can assure you, much, much more is yet to be unveiled for us TV members/enthusiasts. Thank you TV and all you offer to this community. As always, I have included advanced Pine programming techniques that conform to proper "Pine Etiquette" by example. There are so many Pine mastery techniques included, I don't have an abundance of time to elaborate on all of them. For those of you are code savvy, you may have notice I only used one "for" loop for increased server efficiency, instead of the two "for" loops in the original formulation. For those of you who are newcomers to Pine Script, this code release may also help you comprehend the immense "Power of Pine" by employing advanced programming techniques while exhibiting code utilization in a most effective manner. This is commonly what my dense intricate code looks like behind the veil. If you are wondering why there is hardly any notes, that's because the notation is primarily in the variable naming. Features List Includes: Dark Background - Easily disabled in indicator Settings->Style for "Light" charts or with Pine commenting AND a few more... Why list them, when you have the source code! The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
Pine Script™ indicator
by ImmortalFreedom
27
Many Inflation RateThis is a assortment of countries' inflation rates, sourced by Quandl. The countries are represented by their ISO 3166-1 alpha-3 codes in the options, and at the moment include: ARG, AUS, CAN, CHE, DEU, EUR, FRA, GBR, ITA, JPN, NZL, RUS, USA Included is a correlation to the current chart and the selected inflation rate. The correlation compares the monthly moving averages of YOY inflation and the chart closes over a period of two years. At the moment this doesn't seem to be the most efficient method of correlation/comparison, should there be one to begin with. More information: www.ons.gov.uk www.bls.gov voxeu.org en.wikipedia.org See here for a different version:
Pine Script™ indicator
by NeoButane
4
Autocorrelation PlotA tool to plot auto correlation of time series, this is useful in identifying periodicity in a time series or signal. Due to the limits of Pine Script you'll need to add it multiple times if you want autocorrelation beyond 55 periods. I have added it 4 times here for 220 periods. For more information on Autocorrelation see: en.wikipedia.org Note: There are 1 bar gaps every 55 because I wanted the labels to remain every 5, but you don't have to have gaps....
Pine Script™ indicator
by yatrader2
2
Crypto Market CorrelationThis script utilized some new functions in Pine Script, which compares the correlation between the current symbol to a basket of crypto indexes that are listed on the FTX exchange. By tracking these indexes we can gauge the reaction across markets that have a different market cap. By that I mean we can have a better idea about where the money is flowing into a specific market. This script uses data from FTX:BTCPERP, FTX:ALTPERP, FTX:MIDPERP, FTX:SHITPERP, FTX:EXCHPERP, FTX:DRGNPERP. A value closer to 1 equals to more correlation, closer to 0 equals to less correlation.
Pine Script™ indicator
by Lancelot1Trader
Correlation MatrixIn financial terms, 'correlation' is the numerical measure of the relationship between two variables (in this case, the variables are Forex pairs). The range of the correlation coefficient is between -1 and +1. A correlation of +1 indicates that two currency pairs will flow in the same direction. A correlation of -1 indicates that two currency pairs will move in the opposite direction. Here, I multiplied correlation coefficient by 100 so that it is easier to read. Range between 100 and -100. Color Coding:- The darker the color, the higher the correlation positively or negatively. Extra Light Blue (up to +29) : Weak correlation. Positions on these symbols will tend to move independently. Light Blue (up to +49) : There may be similarity between positions on these symbols. Medium Blue (up to +75) : Medium positive correlation. Navy Blue (up to +100) : Strong positive correlation. Extra Light Red (up to -30) : Weak correlation. Positions on these symbols will tend to move independently Light Red (up to -49) : There may be similarity between positions on these symbols. Dark Red: (up to -75) : Medium negative correlation. Maroon: (up to -100) : Strong negative correlation.
Pine Script™ indicator
by Mango2Juice
13
Correlation Trend Indicator - Dr. John EhlersHot off the press, I present this "Correlation Trend Indicator" employing PSv4.0, originally formulated by Dr . John Ehlers for TASC - May 2020 Traders Tips. John Ehlers might describe it's characteristics as being a mean reverting trend identification oscillator range bound to +/-1.0 irregardless of any timeframe or asset. I could have finessed this indicator with all kinds of bells and whistles, but I wanted to keep it simple and handy enough for novice Pine programmers or Tradingview newcomers to use. This algorithm, in a slightly modified form, is actually a small portion of the base code for John Ehlers' highly complex Autocorrelation Periodogram and his Convolution SwamiChart. Some members may have notice that I published a very similar script last month. That is correct. It's sole intention was completely different, having more diverse versatility and complexity, but with slightly reduced computational performance. While they seem eerily similar, they are genetically different. This function only has only one required "series" parameter and the correlation is calculated using the period, not bar_index. Correlating with bar_index or period yields identical results either way. Bottom line, this indicator is elegantly simplistic, yet highly utilitarian and easy to use. Features List Includes: Dark Background - Easily disabled in indicator Settings->Style for "Light" charts or with Pine commenting AND a few more... You have the source! The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
Pine Script™ indicator
by ImmortalFreedom
10
Ehlers Correlation Trend Indicator CTI by Cryptorhythms [CR]Ehlers Correlation Trend Indicator CTI by Cryptorhythms 📜Intro In his article “Correlation As A Trend Indicator” in issue May 2020 of TASC, author John Ehlers introduces a new trend indicator that is based on the correlation between a security’s price history and the ideal trend: a straight line. He describes methods for using the indicator to not only identify the onset of new trends but to identify trend failures as well. He presents what looks like a simple and elegant idea for a trend-detection and mode-switching indicator. 📋Comments Careful market selection may be the key to a correct application of the indicator. Even such barebone rules could shine with stocks like AAPL that tend to develop prolonged trends. But for others like CAT, which can keep oscillating in ranges for years, results will be much less impressive. They require a different approach. For example, you would want to buy when Correlation Trend falls significantly below zero and sell when it reaches positive values. Therefore, it would be an interesting problem to research Correlation Trend’s ability to identify the switch to a cycle mode. That might help develop countertrend systems and trade pullbacks. Another possible application might be to act as a system filter of change from trending mode to mean-reversion mode. Extras As usual when porting indicators to the library here on tradingview, I like to add some extra flare! 💠Customizable Overbought and Oversold Zones for Alert Creation 💠Bar coloration based on trade state for easy visual at a glance chart checking 💠Some basic example Entry and Exit conditions and a simple Trade State Engine to get you going creating your own strategy Enjoy! 👍 We hope you enjoyed this indicator and find it useful! We post free crypto analysis, strategies and indicators regularly. This is our 81st script on Tradingview!
Pine Script™ indicator
by theheirophant
7
OBV Correlation CoefficientFind the correlation between OBV and price. Basically, they should be correlated, but sometimes they are inversely correlated (less than -0.4). It was released because it seems to be in a phase for some reason. When the inverse correlation is over, it is possible to think about how to buy and sell for the time being OBVと価格との相関関係を求めます。 基本的には相関するはずなんですけど、たまに逆相関（-0.4以下）になっているときがあります。 何らかの理由で局面になっていそうなので公開しました。 逆相関が終わるときに売買という使い方がとりあえず考えられます
Pine Script™ indicator
by xinolia
1
Dual Purpose Pine Based CorrelationThis is my "Pine-based" correlation() function written in raw Pine Script. Other names applied to it are "Pearson Correlation", "Pearson's r", and one I can never remember being "Pearson Product-Moment Correlation Coefficient(PPMCC)". There is two basic ways to utilize this script. One is checking correlation with another asset such as the S&P 500 (provided as a default). The second is using it as a handy independent indicator correlated to time using Pine's bar_index variable. Also, this is in fact two separate correlation indicators with independent period adjustments, so I guess you could say this indicator has a dual purpose split personality. My intention was to take standard old correlation and apply a novel approach to it, and see what happens. Either way you use it, I hope you may find it most helpful enough to add to your daily TV tool belt. You will notice I used the Pine built-in correlation() in combination with my custom function, so it shows they are precisely equal, even when the first two correlation() parameters are reversed on purpose or by accident. Additionally, there's an interesting technique to provide a visually appealing line with two overlapping plot()s combined together. I'm sure many members may find that plotting tactic useful when a bird's nest of plotting is occurring on the overlay pane in some scenarios. One more thing about correlation is it's always confined to +/-1.0 irregardless of time intervals or the asset(s) it is applied to, making it a unique oscillator. As always, I have included advanced Pine programming techniques that conform to proper "Pine Etiquette". For those of you who are newcomers to Pine Script, this code release may also help you comprehend the "Power of Pine" by employing advanced programming techniques in Pine exhibiting code utilization in a most effective manner. One of the many tricks I applied here was providing floating point number safeties for _correlation(). While it cannot effectively use a floating point number, it won't error out in the event this should occur especially when applying "dominant cycle periods" to it, IF you might attempt this. NOTICE: You may have observed there is a sqrt() custom function and you may be thinking... "Did he just sick and twistedly overwrite the Pine built-in sqrt() function?" The answer is... YES, I am and yes I did! One thing I noticed, is that it does provide slightly higher accuracy precision decimal places compared to the Pine built-in sqrt(). Be forewarned, "MY" sqrt() is technically speaking slower than snail snot compared to the native Pine sqrt(), so I wouldn't advise actually using it religiously in other scripts as a daily habit. It is seemingly doing quite well in combination with these simple calculations without being "sluggish". Lastly, of course you may always just delete the custom sqrt() function, via Pine Editor, and then the script will still operate flawlessly, yet more efficiently. Features List Includes: Dark Background - Easily disabled in indicator Settings->Style for "Light" charts or with Pine commenting AND much, much more... You have the source! The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
Pine Script™ indicator
by ImmortalFreedom
6
Any Security vs. Any Security Change Comparison [BigBitsIO]This script allows you to compare the percentage-based change in the price of any two securities on any given (and supported) timeframe on the chart. This can give you a very simple way to compare any two securities against one another. Ex: If your base security gained 5%, and the other security gained 3% in a single day, the change comparison would show a green bar of 2% because your base security outgained your other security by 2%. Features: - 2 securities to compare. A base and other. - Shortlist of default securities to choose from. - Ability to override the default securities list and use any security supported by TradingView. You must use the correct security string to do so. - Resolution is tied to whatever the current chart is using. This way the view of the indicator always reflects the correct resolution of the chart. - If either market has a 0% change, it is considered likely closed during that period and will result in a change of 0%, as they shouldn't be compared at that time.
Pine Script™ indicator
by BigBitsIO
3
Functions Allowing Series As Length - PineCoders FAQ█ WARNING Improvements to the following Pine built-ins have deprecated the vast majority of this publication's functions, as the built-ins now accept "series int" `length` arguments: ta.wma() ta.linreg() ta.variance() ta.stdev() ta.correlation() NOTE For an ​EMA function that allows a "series int" argument for `length`, please see `ema2()` in the ta library by TradingView . █ ORIGINAL DESCRIPTION Pinescript requires many of its built-in functions to use a simple int as their period length, which entails the period length cannot vary during the script's execution. These functions allow using a series int or series float for their period length, which means it can vary on each bar. The functions shared in this script include: Rolling sum: Sum(src,p) Simple moving average: Sma(src,p) Rolling variance: Variance(src,p) Rolling standard deviation: Stdev(src,p) Rolling covariance: Covariance(x,y,p) Rolling correlation: Correlation(x,y,p) If p is a float then it is rounded to the nearest int . How to Use the Script Most of the functions in the script are dependent on the Sma function. The Correlation function uses the Covariance and Stdev functions. Be sure you include all the required functions in your script. Make sure the series you use as the length argument is greater than 0, else the functions will return na . When using a series as length argument, the following error might appear: Pine cannot determine the referencing length of a series. Try using max_bars_back in the study or strategy function. This can be frequent if you use barssince(condition) where condition is a relatively rare event. You can fix it by including max_bars_back=5000 in your study declaration statement as follows: study("Title",overlay=true,max_bars_back=5000) Example The chart shows the Sma , Stdev , Covariance and Correlation functions. The Sma uses the closing price as input and bars as period length where: bars = barssince(change(security(syminfo.tickerid,"D",close ,lookahead=true))) The Stdev uses the closing price as input and bars + 9 as period length. The Covariance and Correlation use the closing price as x and bar_index as y , with bars + 9 as period length. Look first. Then leap.
Pine Script™ indicator
by PineCoders
29
Hashem Correlation CoefficientCorrelation Coefficient Core Code from: www.tradingview.com This indicator Show Correlation between the Current Ticker & timeframe and a Customizable Ticker. After adding the indicator you can change the second ticker in the settings. The Correlation Coeff is between -1 to 1 which 1 means 100% correlation and -1 means -100% correlation ( Inverse Correlation ). The color of the area changes when: Blue : CC > 0.5 Aqua : CC > 0.75 Purple : CC < -0.5 Red : CC < -0.75
Pine Script™ indicator
by rhawshemi