Looking For Assistance With Formula

It's fairly easy to get calculated correlation figures for the currency pairs, but I'd love to automate the calculations in MetaTrader in a script (call me crazy).

Oanda has the formula listed, but my memory of math symbolism too rusty to recognize anything except the summation and "to the power of...". If I can get this translated into English, I can handle the programming. Is anyone's math fresh enough to remember what this stuff means?


http://fxtrade.oanda.com/currencyCor...nEquation1.png

Where...

http://fxtrade.oanda.com/currencyCor...nEquation2.png

You have two sets of data x & y a specific element of x or y is denoted by the x little i, meaning the i'th element of the set x. x or y with a bar over the top means the average of the set.

Your a programmer right?

std::vector<double> x;
std::vector<double> y;

//Fill in data

double mean_x = std::accumulate(x.begin(), x.end()) / x.size();
double mean_y = std::accumulate(y.begin(), y.end()) / y.size();
double ssxy = 0;
double ssxx = 0;
double ssyy = 0;
const size_t size = x.size();
for(size_t i = 0; i < size; ++i)
{
ssxy += (x[i] - mean_x) * (y[i] - mean_y);
ssxx += (x[i] - mean_x);
ssyy += (y[i] - mean_y);
}
double cc = ssxy / sqrt(ssxx * ssyy);

I may have made some mistakes, but you get the idea I' sure.

Thanks for the assist, I couldn't remember if the bar referred to absolute value, average, median, or something else.

I'm not seeing any calcs related to Sum(i=1)^n, did I miss them? Does that simply mean to sum the set of values as you're doing in the code?

My Mistake...

ssxx += (x[i] - mean_x);
ssyy += (y[i] - mean_y);

should be

ssxx += (x[i] - mean_x) ^ 2;
ssyy += (y[i] - mean_y) ^ 2;

So that handles everything inside the parens and the squaring... do I have to do anything with this wierd group of symbols?

http://img171.imageshack.us/img171/1...ulapartct7.jpg

I think it's saying to sum the results of the entire set of calcs in the parens (as you did) and then raise to the power of number of elements in set.

so... would it be:
I tried googling some math symbol logic, but I can't for the life of me figure out how to google
http://img171.imageshack.us/img171/1...ulapartct7.jpg

http://img171.imageshack.us/img171/1...ulapartct7.jpg
that symbol means "sum"

as Craig use "+=" that already handle the symbol

Okay, so it just means sum the results from element 1 through n. I thought it was something more esoteric than that. Thanks guys.

Craig, next time you find yourself in the Chicago area, I'm buying the first round.

Sounds good! I'll be there is soon as I make some money

It's called a Riemann Sum. Here is an explanation:

http://archives.math.utk.edu/visual....iemann_sums.4/

See? This is what's great about the internet in general, and specifically forums like ForexFactory. Lots of people willing to share information and help each other out.

It's getting me all misty eyed.