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<SPAN
class=307274021-20042003>Rich,
if for
instance you wanted to check the correlation between the dj30 and all the stocks
in your universe you could do it with the foreign statement.
<SPAN
class=307274021-20042003>
<FONT
face=Arial>
Filter=C<FONT
size=2>>0<FONT color=#282828
size=2>;<FONT
color=#0000ff>
x=Foreign(<FONT
size=2>"!DJ30","C");
//enter the base ticker Here<FONT color=#008000
size=2> <FONT
color=#282828 size=2>
test=Correlation(x,<FONT
size=2>C<FONT
size=2>,50<FONT color=#282828
size=2>);<FONT
color=#0000ff size=2>
AddColumn(test,<FONT color=#ff00ff
size=2>"Correlation"<FONT
face=Arial>);
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Rich Wells
[mailto:rwellscpa@xxxxxxxxxxxxx]Sent: Sunday, April 20, 2003 5:37
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
CorrelationI would like to find highly correlated pairs
of stocks or indexes that can be traded in a pair hedging strategy. So
I am trying to set up an exploration to run a report showing the percent
correlation between each stock in a group, such as the NYSE list. (I
realize this will probably take hours to run)For example, I have
determined that the correlation between the price of JPM and BAC is
.63 Now I would like to do this calculation for a large
groupThanks,Rich--- In amibroker@xxxxxxxxxxxxxxx,
"Anthony Faragasso" <ajf1111@xxxx> wrote:> Rich,>
> From the help menu.....> > SYNTAX correlation(
ARRAY1, ARRAY2, periods ) > RETURNSARRAY > FUNCTION Calculates
correlation between ARRAY1 and ARRAY2 using periods> range >
EXAMPLEcorrelation( close, ref( close, -5 ), 5 ); - this calculates>
correlation between close price and and close price 5 days back>
> > > //Load into Indicator Builder>
lookback=10;> P=Foreign("^NDX","C");//select your Index or ticker>
Plot(Correlation(C,p,lookback),"Correlation",colorRed,styleLine);>
> which ever chart is opened will show the correlation between that
ticker and> the ticker in the P variableSend
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