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KioseffTrading
2023년 9월 4일 오전 4시 57분
Cross Correlation [Kioseff Trading]
FX:EURUSD
Euro Fx/U.S. Dollar
FXCM
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2023년 9월 4일 오전 4시 57분
Hello!
This script "Cross Correlation" calculates up to ~10,000 lag-symbol pair cross correlation values simultaneously!
Cross correlation calculation for 20 symbols simultaneously
+/- Lag Range is theoretically infinite (configurable min/max)
Practically, calculate up to 10000 lag-symbol pairs
Results can be sorted by greatest absolute difference or greatest sum
Ability to "isolate" the symbol on your chart and check for cross correlation against a list of symbols
Script defaults to stock pairs when on a stock, Forex pairs when on a Forex pair, crypto when on a crypto coin, futures when on a futures contract.
A custom symbol list can be used for cross correlation checking
Can check any number of available historical data points for cross correlation
Practical Assessment
Ideally, we can calculate cross correlation to determine if, in a list of assets, any of the assets frequently lead or lag one another.
Example
Say we are comparing the log returns for the previous 10 days for SPY and XLU.
*A single time-interval corresponds to the timeframe of your chart i.e. 1-minute chart = 1-minute time interval. We're using days for this example.
(Example Results)
A lag value (k) +/-3 is used.
The cross correlation (normalized) for k = +3 is -0.787
The cross correlation (normalized) for k = -3 is 0.216
A positive "k" value indicates the correlation when Asset A (SPY) leads Asset B (XLU)
A negative "k" value indicates the correlation when Asset B (XLU) leads Asset A (SPY)
A normalized cross correlation of -0.787 for k = +3 indicates an "adequately strong" negative relationship when SPY leads XLU by 3 days.
When SPY increases or decreases - XLU frequently moves in the opposite direction 3 days later.
A cross correlation value of 0.216 at k = −3 indicates a "weak" positive correlation when XLU leads SPY by 3 days.
There's a slight tendency for SPY to move in the same direction as XLU 3 days later.
After the cross-correlation score is normalized it will fall between -1 and 1.
A cross-correlation score of
1
indicates a perfect directional relationship between asset A and asset B at the corresponding lag (k).
A cross correlation of
-1
indicates a perfect inverse relationship between asset A and asset B at the corresponding lag (k).
A cross correlation of
0
indicates no correlation at the corresponding lag (k).
The image above shows the primary usage for the script!
The image above further explains the data points located in the table!
The image above shows the script "isolating" the symbol on my chart and checking the cross correlation between the symbol and a list of symbols!
Wrapping Up
With this information, hopefully you can find some meaningful lead-lag relationships amongst assets!
Thank you for checking this out (:
릴리즈 노트
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2023년 9월 4일 오전 9시 17분
Further improved efficiency!
forecasting
statistics
Trend Analysis
crosscorrelation
correlation
correlation_break
correlationtrading
correlationcross
correlationpairs
correlations
correlationcycle
Correlation Coefficient (CC)
코멘트
slowcoconut
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2024년 1월 17일 오전 9시 46분
Woah this is helpful, thanks.
KioseffTrading
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2024년 1월 17일 오후 9시 12분
@slowcoconut
, Hey coconut! Thank you for the positive feedback :D
XavierMcAllisterCapital
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2024년 2월 20일 오후 10시 53분
Fantastic - but could do with some alerts
Arun_K_Bhaskar
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2024년 2월 19일 오전 7시 44분
Master of Arrays
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