OBV Correlation CoefficientFind the correlation between OBV and price.
Basically, they should be correlated, but sometimes they are inversely correlated (less than -0.4).
It was released because it seems to be in a phase for some reason.
When the inverse correlation is over, it is possible to think about how to buy and sell for the time being
OBVと価格との相関関係を求めます。
基本的には相関するはずなんですけど、たまに逆相関（-0.4以下）になっているときがあります。
何らかの理由で局面になっていそうなので公開しました。
逆相関が終わるときに売買という使い方がとりあえず考えられます
Correlation
Dual Purpose Pine Based CorrelationThis is my "Pine-based" correlation() function written in raw Pine Script. Other names applied to it are "Pearson Correlation", "Pearson's r", and one I can never remember being "Pearson Product-Moment Correlation Coefficient(PPMCC)". There is two basic ways to utilize this script. One is checking correlation with another asset such as the S&P 500 (provided as a default). The second is using it as a handy independent indicator correlated to time using Pine's bar_index variable. Also, this is in fact two separate correlation indicators with independent period adjustments, so I guess you could say this indicator has a dual purpose split personality. My intention was to take standard old correlation and apply a novel approach to it, and see what happens. Either way you use it, I hope you may find it most helpful enough to add to your daily TV tool belt.
You will notice I used the Pine built-in correlation() in combination with my custom function, so it shows they are precisely equal, even when the first two correlation() parameters are reversed on purpose or by accident. Additionally, there's an interesting technique to provide a visually appealing line with two overlapping plot()s combined together. I'm sure many members may find that plotting tactic useful when a bird's nest of plotting is occurring on the overlay pane in some scenarios. One more thing about correlation is it's always confined to +/-1.0 irregardless of time intervals or the asset(s) it is applied to, making it a unique oscillator.
As always, I have included advanced Pine programming techniques that conform to proper "Pine Etiquette". For those of you who are newcomers to Pine Script, this code release may also help you comprehend the "Power of Pine" by employing advanced programming techniques in Pine exhibiting code utilization in a most effective manner. One of the many tricks I applied here was providing floating point number safeties for _correlation(). While it cannot effectively use a floating point number, it won't error out in the event this should occur especially when applying "dominant cycle periods" to it, IF you might attempt this.
NOTICE: You may have observed there is a sqrt() custom function and you may be thinking... "Did he just sick and twistedly overwrite the Pine built-in sqrt() function?" The answer is... YES, I am and yes I did! One thing I noticed, is that it does provide slightly higher accuracy precision decimal places compared to the Pine built-in sqrt(). Be forewarned, "MY" sqrt() is technically speaking slower than snail snot compared to the native Pine sqrt(), so I wouldn't advise actually using it religiously in other scripts as a daily habit. It is seemingly doing quite well in combination with these simple calculations without being "sluggish". Lastly, of course you may always just delete the custom sqrt() function, via Pine Editor, and then the script will still operate flawlessly, yet more efficiently.
Features List Includes:
Dark Background - Easily disabled in indicator Settings->Style for "Light" charts or with Pine commenting
AND much, much more... You have the source!
The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
Correlation Coefficient {Cybernetwork}Correlation Coefficient (CC): with CC momentum and acceleration oscillators, and momentum-divergence indicator.
Correlation & BetaDisplay the correlation coefficient and/or Beta of an asset to a specified market.
Options to:
- Specify market (S&P500 futures by default)
- Display one or other metrics
- Modify assessment period (200 bars by default)
- Calculate on price, returns or log-returns
crypto chart BTC is often moved by other brands
This indicator to detect the precedence and enter BTC
Any Security vs. Any Security Change Comparison [BigBitsIO]This script allows you to compare the percentage-based change in the price of any two securities on any given (and supported) timeframe on the chart. This can give you a very simple way to compare any two securities against one another.
Ex: If your base security gained 5%, and the other security gained 3% in a single day, the change comparison would show a green bar of 2% because your base security outgained your other security by 2%.
Features:
- 2 securities to compare. A base and other.
- Shortlist of default securities to choose from.
- Ability to override the default securities list and use any security supported by TradingView. You must use the correct security string to do so.
- Resolution is tied to whatever the current chart is using. This way the view of the indicator always reflects the correct resolution of the chart.
- If either market has a 0% change, it is considered likely closed during that period and will result in a change of 0%, as they shouldn't be compared at that time.
Correlation Tool [QuantNomad]It's a pretty simple indicator that allows you to calculate the stock's correlation directly in TradingView.
You can use up to 5 symbols in this indicator. You can use any timeframe and limit date range for correlation calculation.
It's a pro indicator, you can have access to it for a small fee. Link to my PRO indicators you can find in my signature.
Will be happy to hear your feedback.
- How do you want to use this indicator?
- What other features do you want in it?
Minkowski Distance Period Linear Regression BandsHello, this script was created by using Linear Regression Bands Function with variable Function Minkowski Distance Adaptive Period.
Function Linear Regression Bands :
Minkowski Distance Function Original Script by RicardoSantos :
Functions saved from overloads . And suitable for mutable variable periods.
Regards.
Functions Allowing Series As Length - PineCoders FAQ█ WARNING
Improvements to the following Pine built-ins have deprecated the vast majority of this publication's functions, as the built-ins now accept "series int" `length` arguments:
ta.wma()
ta.linreg()
ta.variance()
ta.stdev()
ta.correlation()
NOTE
For an EMA function that allows a "series int" argument for `length`, please see `ema2()` in the ta library by TradingView .
█ ORIGINAL DESCRIPTION
Pinescript requires many of its built-in functions to use a simple int as their period length, which entails the period length cannot vary during the script's execution. These functions allow using a series int or series float for their period length, which means it can vary on each bar.
The functions shared in this script include:
Rolling sum: Sum(src,p)
Simple moving average: Sma(src,p)
Rolling variance: Variance(src,p)
Rolling standard deviation: Stdev(src,p)
Rolling covariance: Covariance(x,y,p)
Rolling correlation: Correlation(x,y,p)
If p is a float then it is rounded to the nearest int .
How to Use the Script
Most of the functions in the script are dependent on the Sma function. The Correlation function uses the Covariance and Stdev functions. Be sure you include all the required functions in your script.
Make sure the series you use as the length argument is greater than 0, else the functions will return na . When using a series as length argument, the following error might appear:
Pine cannot determine the referencing length of a series. Try using max_bars_back in the study or strategy function.
This can be frequent if you use barssince(condition) where condition is a relatively rare event. You can fix it by including max_bars_back=5000 in your study declaration statement as follows:
study("Title",overlay=true,max_bars_back=5000)
Example
The chart shows the Sma , Stdev , Covariance and Correlation functions. The Sma uses the closing price as input and bars as period length where:
bars = barssince(change(security(syminfo.tickerid,"D",close ,lookahead=true)))
The Stdev uses the closing price as input and bars + 9 as period length. The Covariance and Correlation use the closing price as x and bar_index as y , with bars + 9 as period length.
Look first. Then leap.
Hashem Correlation CoefficientCorrelation Coefficient
Core Code from: www.tradingview.com
This indicator Show Correlation between the Current Ticker & timeframe and a Customizable Ticker. After adding the indicator you can change the second ticker in the settings.
The Correlation Coeff is between -1 to 1 which 1 means 100% correlation and -1 means -100% correlation ( Inverse Correlation ).
The color of the area changes when:
Blue : CC > 0.5
Aqua : CC > 0.75
Purple : CC < -0.5
Red : CC < -0.75
correlation_between_two_symbolsCorrelation between two symbols.
Notice: you can find more useful indicators by searching 'between_two_symbols'
Function : Multiple Correlation
This script was written to calculate the correlation coefficient (Adjusted R-Squared) for one dependent and two independent variables.(3-way)
Pearson correlation method was used with exponential moving averages as the correlation calculation method.
Use your source ( i use "close" generally ) as the dependent variable.
Inspired by this article : www.real-statistics.com
The Adjusted R-Squared coefficient is used as output, but the R-Squared coefficient is also available in the code.
Adjusted R-Squared is often used for multiple correlations.
It also gives better results in large samples.
Here is the article about the difference of the two coefficients : www.investopedia.com
I wrote this function to increase the efficiency of my Dow Factor I used before.
When my research is over, I will apply the 3-factor correlation to my scripts.
I hope that I will achieve more efficient indicators and oscillators and even strategies.
In this command, I gave a few variable values and plotted them as an example.
I hope this function is useful in your work.
Finally, you can use periods as mutable variables.
The function is recovered from integer loads.
Best regards. Noldo
Dow Factor Relative Strength IndexThis script was written to create a new, rapid relative strength index inspired by the Dow Theory.
More info about Dow Theory : www.investopedia.com
According to the Dow Theory, volume should confirm market trends.
The correlation coefficient between prices and volume is negative in weakening trends and negative trends , positive in strengthening or positive trends.a factor was formed based on the correlation coefficient between volume and prices.
This factor was added to the relative strength index.
Period 5 is selected because the volume is very volatile and can be slow.
You can use the period you want, but I recommend the period as a minimum of 5.
It is suitable for all instruments and timeframes and thanks to its design, it provides control over gradual buying and selling points.
I haven't fully tested it, it's open to updates. For now, just use it to create ideas.
If I find it necessary,
I'll update after the tests.
If you have suggestions on these issues,
Leave your comments in the comment window.
This code is open source under the MIT license. If you have any improvements or corrections to suggest, please send me a pull request via the github repository github.com
Stay tuned , best regards.
Multistep AutocorrelationAutocorrelation, also known as serial correlation, is the correlation of a signal with a delayed copy of itself as a function of delay. Informally, it is the similarity between observations as a function of the time lag between them. The analysis of autocorrelation is a mathematical tool for finding repeating patterns, such as the presence of a periodic signal obscured by noise, or identifying the missing fundamental frequency in a signal implied by its harmonic frequencies. It is often used in signal processing for analyzing functions or series of values, such as time domain signals.
This multistep autocorrelation function calculates the correlation of roc (rate of change) between an asset at t and t-1 as well as the correlation of the same asset at t and t-4. The output is an average of the two.
If both outputs show a positive correlation, the color will be green.
If only one shows a positive correlation, the color will be yellow.
If neither show a positive correlation, the color will be red.
This indicator can be useful as a filter for strategy entry logic (only enter on strong correlation and the strategy entry condition), or as standalone confirmation of strength in a specific direction. It can also be used to filter chop.
Another potential usecase would be as a variable in regression applications.
Enjoy!
Function : Linear Regression Bands
Used with Pearson Correlation. It can be used to make sense of the trends. Very successful results can be obtained with a MACD style indicator and volume indicator that gives Buy and Sell orders.Open for adaptive and mutable variable periods of moving averages. Best regards!
Kaufman Adaptive Correlation OscillatorIntroduction
The correlation oscillator is a technical indicator that measure the linear relationship between the market closing price and a simple increasing line, the indicator is in a (-1,1) range and rise when price is up-trending and fall when price is down-trending. Another characteristic of the indicator is its inherent smoothing which provide a noise free (to some extent) oscillator.
Such indicator use simple moving averages as well as estimates of the standard deviation for its calculation, but we can easily make it adaptive, this is why i propose this new technical indicator that create an adaptive correlation oscillator based on the Kaufman adaptive moving average.
The Indicator
The length parameter control the period window of the moving average, larger periods return smoother results while having a low kurtosis, which mean that values will remain around 1 or -1 a longer period of time. Pre-filtering apply a Kaufman adaptive moving average to the input, which allow for a smoother output.
No pre-filtering in orange, pre-filtering in yellow, period = 100 for both oscillators.
If you are not aware of the Kaufman adaptive moving average, such moving average return more reactive results when price is trending and smoother results when price is ranging, this also apply for the proposed indicator.
Conclusion
Classical correlation coefficients could use this approach, therefore the linear relationships between any variables could be measured. The fact that the indicator is adaptive add a certain potential, however such combination make the indicator have the drawback of kama + the correlation oscillator, which might appear at certain points.
Thanks for reading !
Volatility / Kurtosis / Skewness / CorrelationCalculations for Historical Volatility, Kurtosis, Skewness and Historical Correlation between two assets.
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If you find it useful please consider a tip/donation :
BTC - 3BMEXEDyWJ58eXUEALYPadbn1wwWKmf6sA
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Correlation MATRIX (Flexible version)Hey folks
A quick unrelated but interesting foreword
Hope you're all good and well and tanned
Me? I'm preparing the opening of my website where we're going to offer the Algorithm Builder Single Trend, Multiple Trends, Multi-Timeframe and plenty of others across many platforms (TradingView, FXCM, MT4, PRT). While others are at the beach and tanning (Yes I'm jealous, so what !?!), we're working our a** off to deliver an amazing looking website and great indicators and strategies for you guys.
Today I worked in including the Trade Manager Pro version and the Risk/Reward Pro version into all our Algorithm Builders. Here's a teaser
We're going to have a few indicators/strategies packages and subscriptions will open very soon.
The website should open in a few weeks and we still have loads to do ... (#no #summer #holidays #for #dave)
I see every message asking me to allow access to my Algorithm Builders but with the website opening shortly, it will be better for me to manage the trials from there - otherwise, it's duplicated and I can't follow all those requests
As you can probably all understand, it becomes very challenging to publish once a day with all that workload so I'll probably slow down (just a bit) and maybe posting once every 2/3 days until the website will be over (please forgive me for failing you). But once it will open, the daily publishing will resume again :) (here's when you're supposed to be clapping guys....)
While I'm so honored by all the likes, private messages and comments encouraging me, you have to realize that a script always takes me about 2/3 hours of work (with research, coding, debugging) but I'm doing it because I like it. Only pushing the brake a bit because of other constraints
INDICATOR OF THE DAY
I made a more flexible version of my Correlation Matrix .
You can now select the symbols you want and the matrix will update automatically !!! Let me repeat it once more because this is very cool... You can now select the symbols you want and the matrix will update automatically :)
Actually, I have nothing more to say about it... that's all :) Ah yes, I added a condition to detect negative correlation and they're being flagged with a black dot
Definition : Negative correlation or inverse correlation is a relationship between two variables whereby they move in opposite directions.
A negative correlation is a key concept in portfolio construction, as it enables the creation of diversified portfolios that can better withstand portfolio volatility and smooth out returns.
Correlation between two variables can vary widely over time. Stocks and bonds generally have a negative correlation, but in the decade to 2018, their correlation has ranged from -0.8 to 0.2. (Source : www.investopedia.com
See you maybe tomorrow or in a few days for another script/idea.
Be sure to hit the thumbs up to cheer me up as your likes will be the only sunlight I'll get for the next weeks.... because working on building a great offer for you guys.
Dave
____________________________________________________________
- I'm an officially approved PineEditor/LUA/MT4 approved mentor on codementor. You can request a coaching with me if you want and I'll teach you how to build kick-ass indicators and strategies
Jump on a 1 to 1 coaching with me
- You can also hire for a custom dev of your indicator/strategy/bot/chrome extension/python
Motion Smoothness Index Introduction
Its holiday time for me, i have been working here a lot. But no leaving before publishing. Telling when market price is smooth or rough is not the easiest task, so today i present a trend metric indicator that allow you to give you this kind of information.
The Indicator
The indicator is in an approximate range of (0,1) with mean x̄ decaying for higher length's, when the indicator is below 0.5 the market is smooth, else rough, this is the simple interpretation. The indicator is simply the ratio of the price residual standard deviation and the price standard deviation.
Higher value of length will make the indicator less accurate when it comes to detect rough market price, you can still use the indicator direction or its running mean to give you insights but 0.5 is still the recommended detection threshold.
In More Depth
Even tho market is random by nature there can still be structures in the price (cycles and trends), the fractional BM model will tell you that market price is sometimes auto-correlated (trending) or non auto-correlated (ranging), knowing what is the current market state is therefore important, when price is rough it can means an excess in noise thus exhibiting an uncorrelated market at the contrary of a smoother price that can allow for auto-correlation.
Now, market is infected by noise, and thats really unfortunate but the noise posses various properties that can allow for all the structures we see in market price. So thinking about the market allowing for possible profits during auto-correlated states is encouraging.
Conclusion
Although the indicator measure smoothness/roughness it can still be interpreted as a trend/range state detector. I hope it provide to be useful.
I wish you all good holidays and see you next time ! Thanks for reading !
Correlation Matrix by DaveattHi everyone
A co-pinescripter friend told me this was impossible to do and we bet a free dinner tomorrow. Guess who's going to be invited to a very fancy restaurant tomorrow :) :) :) (hint: not him)
What's the today script is about?
This script is based on this MT4 correlation matrix
Asset correlation is a measure of how investments move in relation to one another and when. ... Under what is known as modern portfolio theory, you can reduce the overall risk in an investment portfolio and even boost your overall returns by investing in asset combinations that are not correlated.
I did it because it wasn't existing before with this format. What I discovered was only correlations shown as plot lines... #this #is #not #pretty
How does it work?
The correlation matrix will not be based on the current asset of the chart BUT will be based on the current timeframe (confusing? if yes, read it again until you'll get it)
- Numbers of bars back: numbers of bars used for the correlation calculation
- High correlation level: Correlation upper threshold. If above, then the correlation will be green
- Low correlation level: Correlation lower threshold. If below, then the correlation will be red
If the correlation is between the high and low levels, then it will be displayed in orange
- FOREX/INDEX: You can choose between displaying the correlation matrix between 3 FOREX or 3 INDEX assets
Also...
So far the scale doesn't respond too well to the matrix so you'll have to adapt the scale manually. I'll publish a V2 if I'll find a way to solve this issue from the code directly #new #challenge
A quick final note on why I'm sharing so much?
It challenges me to think out of the norm, get out of my bubble and explore areas of Pinescript that I still don't know. This "a script a day" challenge allows me to speed up my learning curve on Pinescript by a billion factor (and I get a few interesting gigs as well)
Let's bring this indicator to 100 LIKES guys !!!!! I think it deserves it, don't you think? :)
PS
Before all copy/pasters will add a version with crypto tomorrow, don't bother, I already did it and will post it in a few minutes for FREE :p
____________________________________________________________
Be sure to hit the thumbs up as it shows me that I'm not doing this for nothing and will motivate to deliver more quality content in the future.
- I'm an officially approved PineEditor/LUA/MT4 approved mentor on codementor. You can request a coaching with me if you want and I'll teach you how to build kick-ass indicators and strategies
Jump on a 1 to 1 coaching with me
- You can also hire for a custom dev of your indicator/strategy/bot/chrome extension/python
ck - Crypto Correlation IndicatorA simple Correlation Indicator initially configured for Crypto Trader use (but other markets can use this too).
It plots the correlation between the current chart (say BTCUSD ) versus 4 user-definable indices, currency pairs, stocks etc.
By default, the indicator is preconfigured for:
GOLD (Oz/$),
Dow Jones Index (DJI),
Standard & Poor 500 Index (SPX) ,
Dollar Index ( DXY )
You can set the period (currently 1D resolution) in the "Period" box in the settings, valid inputs are:
minutes (number), days (1D, 2D, 3D etc), weeks (1W, 2W etc), months (1M, 2M etc)
Length is the lagging period/smoothing applied - default is 14
When changing comparison instruments/tickers, you may find it useful to prefix the exchange with the instrument's ticker, for example:
Binance:BTCUSDT, NYSE:GOOG etc
*** Idea originally from the brilliant Backtest Rookies - backtest-rookies.com ***
Inverse Fisher Z-Score Introduction
The inverse fisher transform or hyperbolic tangent function is a type os sigmoid function (sometime called squashing function) , those types of functions can rescale a result in a certain range and are widely used in artificial intelligence. More in depth the fisher transform can make the correlation coefficient of a time series normally distributed, in practice if you apply the fisher transform to the correlation coefficient between a time series and a linear function you will end up with an estimate of the z-score of the time series. The inverse transform however can do the contrary, it can take the z-score and transform it into a rough estimate of the correlation coefficient, if your z-score is not smooth then you will have a non-smooth estimate of the correlation coefficient, that's quite nice no ?
The Indicator
The inverse fisher transform of the z-score will produce results in a range of 1/-1, here however i will rescale in a range of 100/0 because its a standard range for oscillators in technical analysis. Values over 80 indicate an overbought market, under 20 an oversold market. The smooth option in the indicator settings will make the indicator use a linearly weighted moving average as input thus resulting in a smoother result.
The indicator with smooth option.
Conclusion
I presented a new oscillator indicator who use the inverse fisher transform of a z-score. Using the fisher transform and its inverse can give a new shape to your indicator, make sure to control the scale of your indicator before applying the fisher transform, the inverse transform should be applied to values in range of 1/-1 but you can use higher limits (2/-2,3/-3...) , however remember that higher limits will approximate an heavy side step function (square shape) . I hope you will find an use to this indicator.
Thanks for reading !
