Correlation Coefficient: Visible Range Dynamic Average R

2023년 1월 1일

-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

2023년 2월 7일

릴리즈 노트

-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

2023년 2월 7일

릴리즈 노트

-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

2023년 6월 18일

릴리즈 노트

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