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Hugh, it sounds like you are trying to use this in an exploration
where each security might have a different start date. If you are
trying to calculate the correlation since inception for a group of
securities then this will work:
// Correlation to S&P 500 since inception
Filter =1;
IndexSym = ParamStr("S&P 500","SP-DA"); // set ticker for your quote
provider
Index = Foreign(IndexSym,"C");
Per = BarCount -2; // maximum period that can be calculated
Cor = Correlation(ROC(C,1),ROC(Index,1),Per);
AddColumn(Cor, "S&P"+Per, 1.2);
In the AA window, set n=1 and run explore against your watchlist and
it will calculate "lifetime" correlation to the S&P.
This works as long as the history of the security in your watchlist
is less than or equal to the "index" security.
--- In amibroker@xxxxxxxxxxxxxxx, "huandy631" <hugh.andersen@xxx>
wrote:
>
> Thanks for the reply GP. Still no luck.
>
> I've tried the following, but although Period=the few number of
bars
> I don't get a correlation result.
>
> ...
> for( i = 0; ( sym2 = StrExtract( List2, i ) ) != ""; i++ )
> {
>
> NoBars1=NoBars2=0;
> for(j=0;j<BarCount-10;j++)
> {NoBars1=j;}
>
> SetForeign(sym2);
> for(m=0;m<BarCount-10;m++)
> {NoBars2=m;}
> RestorePriceArrays();
> Period=Min(NoBars1,NoBars2);
>
> AddColumn(Correlation(Foreign(Name(),"close",True),Foreign
> (sym2,"Close",True),Period),sym2);
> }
>
>
> any ideas?
>
> regards
>
> Hugh
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> wrote:
> >
> > The constant "BarCount". All arrays in the same context have the
> same
> > number of bars.
> >
> > Regards,
> > GP
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "huandy631" <hugh.andersen@>
> wrote:
> > >
> > > I am trying to find out the correlation between two arrays for
> all
> > > bars in the array, not just a subset. There has to be a simple
> way of
> > > finding out the number of bars in an array? I just don't see it.
> > >
> > > eg
> > > period=min(no bars array 1, no bars array2)
> > > correl=correlation(array1,array2,period)
> > >
> > > thanks
> > > Hugh
> > >
> >
>
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