OPEN-SOURCE SCRIPT
Correlation Oscillator - Anomaly Alerts
This script plots the correlation for two symbols as an oscillator:
A correlation of 1 means that both values move in the same direction together.
A correlation of -1 means that both values are perfectly negative correlated.
Parameter:
Length of the Correlation
The two symbols you want to calculate the correlation for
Barcolor: Defines whether Bar-coloring is set on.
The Number of bars lookback for anomaly: Say both are normally positively correlated it is an anomaly when the correlation turns negative and vica-versa.
Alerts: You can also set an Alert when an anomaly is detected.(blue dots on oscillator)
This has many use-cases:
For example VVIX and VIX are normally positive correlated.
When this turns negative, this can mean that we are on a turning point:
--> VVIX is rising while VIX is falling, risk of future Volatility is increasing (Top)
--> VIX is rising while VVIX is falling, risk of future Volatility is decreasing (Bottom)
Another use-case is just checking the correlation of stocks in your portfolio to diversify.
A correlation of 1 means that both values move in the same direction together.
A correlation of -1 means that both values are perfectly negative correlated.
Parameter:
Length of the Correlation
The two symbols you want to calculate the correlation for
Barcolor: Defines whether Bar-coloring is set on.
The Number of bars lookback for anomaly: Say both are normally positively correlated it is an anomaly when the correlation turns negative and vica-versa.
Alerts: You can also set an Alert when an anomaly is detected.(blue dots on oscillator)
This has many use-cases:
For example VVIX and VIX are normally positive correlated.
When this turns negative, this can mean that we are on a turning point:
--> VVIX is rising while VIX is falling, risk of future Volatility is increasing (Top)
--> VIX is rising while VVIX is falling, risk of future Volatility is decreasing (Bottom)
Another use-case is just checking the correlation of stocks in your portfolio to diversify.
Script de código aberto
No verdadeiro espírito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam compreendê-lo e analisá-lo. Parabéns ao autor! Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações é regida pelas Regras da Casa. Você pode favoritá-lo para usá-lo em um gráfico.
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