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correlation

Syntax Format

correlation(x, y, n)

Overview

The correlation function provides the coefficient for the two sets of series, taken into calculation – x and y, over a chosen period, indicated as n in the formula. This function can be useful to analyze and compare the given data series, their directions, interconnection, etc. You can also use this function to compare price series of different assets.

Parameters

ParameterTypePurpose
xseriesFirst series
yseriesSecond series
nintegerPeriod, taken into calculation

Returns: series.

Example

h_l = correlation(high, low, 14) -- correlation between highest and lowest price values of 14 bars

Formula

The formula for calculating the correlation function is:

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