Strategy Of Cross-Market Correlation Table By [Mukuro-Hoshimiya]

2023년 12월 3일

It is common knowledge that assets are influenced by the state of the market, with the majority of said influence being placed in the correlation of an asset relative to a few other assets or in this case, Tickers. Through calculating the correlation on a multitude of different timeframes and averaging them out, one would come out with the average correlation between two assets. Then using a multitude of trend following indicators to discern in which direction the correlating asset is heading in, based on a score of "1" for a positive trend, and a score of "-1" for a negative trend. You could then multiply the trend by the average correlation, thus gaining the implied correlation of your desired asset, in other words, the direction your asset is likely headed in according to its correlation to another.

Based on that knowledge I decided to create this table. The table calculates the correlation of SIX different tickers that can be selected by the user relative to the ticker on the chart. It does so through the combination of up to FIVE different timeframes which can also be selected by the user. Following which, FIVE different time coherent and medium term trend following indicators are used to discern in which direction each of the correlating assets is going in. Then the correlation is multiplied by the averae correlation of each ticker to provide the user with the average implied correlation, in other words, which direction is the asset on my chart headed in based on the correlation it has to another asset.

This table also allows the user to customize almost everything inside of it, all the while maintaining the benefits of having a backtest due to being a strategy.
Finally, I would also like to give credit to the following individuals:
Credits to AriSai_TRW for the TTI indicator
Credits to IkkeOmar for the Normalized Kama Oscillator
Credits to @QuantiLuxe for the Regularized Moving Average Oscillator Suite
Credits to LazyBear for the ElliotWave Oscillator
Credits to VanHe1sing for the idea
Credits to BackQuant for some ideas
Credits to @MeiniacLol (Skuby) for some help

2024년 1월 27일

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I do not endorse shorting and am not responsible for whatever happens if you do short.