The Correlation Oscillator (CO) is limited to performing and displaying 8 correlation coefficient calculations with the chart symbol. The limitation is due to MQL4's indicator buffer model - but any more than 8 lines on a chart is starting to get hard to read anyway. It has a legend display on the upper right hand side of the chart that prints the most recent correlation values for the selected symbols.
As the user you can control the:
- symbols the calculations is done for,
- period the rolling calculation is done over,
- price that is used in the calculation,
- the correlation scale factor,
- colours and style of the lines being drawn,
- drawing of the legend, and
- legends position and font.
The list of symbols is passed to the indicator as a delimited string in symbols parameter. The default delimiter is a a comma and can be change by setting the
symbols_sep parameter.
Symbols entry example
The period can be any positive integer value but note that the bigger it is the more computation that will be required e.g. if you are compare the 8 symbols then you'll be handling (period) x 8 calculations on each new bar. This shouldn't be a problem for most modern computers but MT4 is single thread so you will likely notice a slow down.
You determine the value to be passed to the correlation function call via the price_mode parameter. The price_mode parameter accepts an integer value. It has six options:
- 0 = close
- 1 = open
- 2 = high
- 3 = low
- 4 = median
- 5 = typical
- 6 = weighted
You can consult the MT4 help to learn what each of the values are.
The correlation coefficient lies in the interval [-1, 1]. Buy default the value will be scaled by a factor of 100.0, adjusting the interval from [-100,100]. This was added at the request of some user who where more comfortable with the large values. You can set the scale factor through the scale_factor parameter. It will accept any floating point value - so if you want to scale by Pi to 10 decimal places knock yourself out.
The line colours and styles are set just like any other MT4 indicator.
The legend display the most recent correlation value for each symbol the indicator is correlating. If you find the legend annoying you can simply turn it off by setting the legend_show parameter to false. The legend is drawn by default.
You can also adjust the legends:
- margins,
- row height,
- label width,
- cell width,
- font, and
- font size.
Have fiddle with these if you don't like the defaults.
Enjoy!
Next post the correlation table.
This indicator only reports the latest value of the correlation between the chart symbol and any number of chosen symbols on the user selected time frames. The available time frames include all the MT4 defaults - M1 through to Monthly bars.
Warning: If you're correlating 5 symbols to the chart symbol on 4 time frames you will calculating the correlation of 5 x 4 = 20 time series. You may notice the MT4 molasses feature even if you have good hardware. This is why the correlation function was passed down to faster C++ code.
Like the Correlation Oscillator you supply a delimited string of symbols via the symbols parameter. The delimiter can also be changed to your through the symbol_sep parameter.
You can chose which time frames you would like calculate the correlation - if you don't want to calculate the correlation for a given time frame sets is show parameter to false. The defaults are:
extern bool show_m1 = false; extern bool show_m5 = true; extern bool show_m15 = false; extern bool show_m30 = true; extern bool show_h1 = true; extern bool show_h4 = true; extern bool show_d1 = true; extern bool show_w = false; extern bool show_mn = false;
Like the Correlation Oscillator you can determine the period for the moving correlation calculation. The main difference being you can set a period for each time frame. The default values are:
extern int period_m1 = 90; extern int period_m5 = 90; extern int period_m15 = 90; extern int period_m30 = 90; extern int period_h1 = 90; extern int period_h4 = 90; extern int period_d1 = 90; extern int period_w = 12; extern int period_mn = 12;
As with the oscillator the price mode can also be set to one of:
- 0 = close
- 1 = open
- 2 = high
- 3 = low
- 4 = median
- 5 = typical
- 6 = weighted
There isn't a scale factor for this indicator but you can colour the field based upon strength of the correlation. You can set 4 threshold values to indicate the strength of the current linearity. The levels and parameters are:
- level_neutral: intend to highlight states of limited or no correlation. Is less than level_weak.
- level_weak: the strength and direction of the linearity isn't very apparent e.g. could be falling out or possibly entering a correlated stated. Is less than level_moderate.
- level_moderate: There is definitely some measurable linearity but don't bet the house on it. Is less than level_strong.
- level_strong: Draw this things on top of each other and well they'll look like the same thing (if positively correlated) or the same thing just running away from each other if the correlation is negative.
The default values are:
extern double level_neutral = 0.0; extern double level_weak = 0.2; extern double level_moderate = 0.5; extern double level_strong = 0.8;
The correlation values are also highlighted based upon their level. You can change these colours through these parameters:
- text_colour: White. This is the default table colour - applied to symbols and time frames.
- text_colour_neutral: DarkGray.
- text_colour_weak: DeepSkyBlue.
- text_colour_moderate: DeepPink.
- text_colour_strong: Red.
- text_colour_error: Lime.
You can also adjust the tables:
- margins,
- row height,
- label width,
- cell width,
- font, and
- font size.
And it should be working nicely.
- Joined May 2007 | Status: MT4/MT5 EAs/Indicators/Alerts coder | 6,428 Posts
- Joined May 2007 | Status: MT4/MT5 EAs/Indicators/Alerts coder | 6,428 Posts
- Joined May 2007 | Status: MT4/MT5 EAs/Indicators/Alerts coder | 6,428 Posts