Re: [amibroker] Another Correlation question

["Ara Kaloustian" <ara1@xxxxxxxxxx>]

Try using your formula of:
 Correlation( Close, Ref( Close, -5 ), 5 );

on daily data, that compress resulting array to monthly for your final use.


----- Original Message ----- 
From: "slipthruthecracks" <slipthruthecracks@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, November 23, 2009 11:01 AM
Subject: [amibroker] Another Correlation question


>I have read as many threads about correlation as the yahoo search engine 
>will give me before crapping out repeatedly and I am still puzzled on how 
>to do the following.
>
> from the AB help files:
>
> // Correlation between Close price AND AND Close price 5 days back
> Correlation( Close, Ref( Close, -5 ), 5 );
>
> I am computing the monthly ROC from monthend to monthend for a fund and 
> and index and would like to calculate the correlation of the entire array 
> of fund ROC and index ROC across all the monthend data.
>
> I am trying to do this as follows:
> //Create an array with true on month end days
> Monthend =Month() != Ref(Month(), 1);
> //count how many month ending dates there are for the data
> totmonths = Cum(Monthend);
> //Find the array index value of the first month end day
> startday = 0;
> for(m = 0; m < 1; m++)
> {
> if (Monthend[m] == 0)
> startday++;
> }
> Filter = Monthend;
> fsym = Foreign( AnySymbol, "C" );
> idxroc = 0;
> symroc = 0;
> totcount = 0;
> //get a starting value on the first month end date for the fund and //the 
> index
> symprevval = C[startday];
> idxprevval = fsym[startday];
> //start a loop on the next day after the first month end date
> for(d = startday + 1;d <= BarCount -1;d++)
> {
> if(Monthend[d] == 1) //It is a month end day
> {
> idxroc[totcount] = ((C[d]/idxprevval) - 1); //ROC from month end to month 
> end and assign to an array
> symroc[totcount] = ((fsym[d]/symprevval) - 1); //ROC from month end to 
> month end and assign to an array
>               //record the current value as the previous value for the 
> next loop calculations
> idxprevval = C[d];
> symprevval = fsym[d];
> totcount++; //keep track of the total month end calc so far
> }
> }
> Corr = Correlation( idxroc, symroc, -totcount );
> // I have tried this one below as well with similar results.
> //Corr = Correlation( idxroc, symroc, -1 );
> AddColumn( Corr, "Corr", 8.5);
>
> My problem is (I think), that I am trying to calculate a scalar while the 
> Correlation function is calculating a vector. Not only that, but the 
> exploration is returning a -1.#INFO value in the column. I am also not 
> certain that the number the correlation function will return is a 
> correlation of the entire range or if it is only calculating the 
> correlation between each value and the value x bars back.
>
> Jack
>
>
>
>
>
>
> ------------------------------------
>
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> 




------------------------------------

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