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Correlation Indicator

  • #1
  • First Post: Edited May 25, 2010 10:27pm May 24, 2010 7:55pm | Edited May 25, 2010 10:27pm
Well, it's tough to find one. So, I wrote one. Here it is.

Make sure you put your OtherSymbol in " ". ex. "GBPUSD".
LRPeriod is the number of periods you want the correlation calculation to be on.

Formula from the book here:
Amazon on Page 313.

Oops. Forgot to add; the results are in %. Easier to read.

5/25/2010
Put break in switch statements in LR Correlation.

Aded another indicator, LR Least Squares.mq4. This follows the Least Squares method of finding a linear slope for a set of data. Page 319 of the same book.
Note: Least Squares will give you the same numbers as in a text book, but I've also divided the result by Point. Reason is, if you code an EA against it, it's easier to deal w/ numbers to the 'left' of the decimal as opposed to all of them being to the 'right' of the decimal.
Attached File(s)
File Type: mq4 LR - Correlation.mq4   4 KB | 811 downloads | Uploaded May 25, 2010 10:21pm
File Type: mq4 LR - Least Squares - Slope.mq4   3 KB | 633 downloads | Uploaded May 25, 2010 10:22pm
  • #2
  • May 24, 2010 8:42pm May 24, 2010 8:42pm
hey non d.... ...... nice......

sometimes the switch operator works best with 'break'.....h

Inserted Code
 
double procLinearReg(int p, int i)
{
   double SumX=0,b=0,r=0,SumY=0,SumXY=0,SumX2=0,SumY2=0,y=0,x=0;
   for(int c=1; c<=p; c++)
   {
      switch(Type){
         case 0:{x=Close[c+i];
                 y=iClose(OtherSymbol,0,c+i);}break;// 
         case 1:{x=Open[c+i];
                 y=iOpen(OtherSymbol,0,c+i);}break;// 
         case 2:{x=High[c+i];
                 y=iHigh(OtherSymbol,0,c+i);}break;// 
         case 3:{x=Low[c+i];
                 y=iLow(OtherSymbol,0,c+i);}break;// 
         case 4:{x=(High[c+i]+Low[c+i])/2;
                 y=(iHigh(OtherSymbol,0,c+i)+iLow(OtherSymbol,0,c+i))/2;}break;// 
         case 5:{x=(High[c+i]+Low[c+i]+Close[c+i])/3;
                 y=(iHigh(OtherSymbol,0,c+i)+iLow(OtherSymbol,0,c+i)+iClose(OtherSymbol,0,c+i))/3;}break;// 
         case 6:{x=(High[c+i]+Low[c+i]+Close[c+i]+Close[c+i])/4;
                 y=(iHigh(OtherSymbol,0,c+i)+iLow(OtherSymbol,0,c+i)+iClose(OtherSymbol,0,c+i)+iClose(OtherSymbol,0,c+i))/4;}break;// 
         default:{x=(High[c+i]+Low[c+i]+Close[c+i])/3;
                  y=(iHigh(OtherSymbol,0,c+i)+iLow(OtherSymbol,0,c+i)+iClose(OtherSymbol,0,c+i))/3;}
      }//switch(Type)
to trade and code, keep both simple... no call to impress....h
  • #3
  • May 24, 2010 8:43pm May 24, 2010 8:43pm
Thanks ND. Will give it a try. We sure do appreciate your work.
  • #4
  • May 25, 2010 10:25pm May 25, 2010 10:25pm
Sorry about that.

Added another 'Statistics' indicator.

Quoting hayseed
hey non d.... ...... nice......

sometimes the switch operator works best with 'break'.....h

[code]
double procLinearReg(int p, int i)
{...
  • #5
  • Last Post: May 25, 2010 10:25pm May 25, 2010 10:25pm
Your very welcome.

Quoting lcfxtrader
Thanks ND. Will give it a try. We sure do appreciate your work.
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