correlation

correlation(x, y, n)

Parameters

• x (series) – First series

• y (series) – Second series

• n (integer) – Number of bars

Returns

series

Calculates the correlation coefficient between series a and b in the last n bars

\[\begin{split}\overline{x} &= \frac{1}{n}\sum_{i=0}^{n-1}x_i \quad \overline{y} = \frac{1}{n}\sum_{i=0}^{n-1}y_i\\ r_{xy} &= \frac{\sum_{i=0}^{n-1}(x_i-\overline{x})(y_i-\overline{y})}{\sqrt{\sum_{i=0}^{n-1}(x_i-\overline{x})^2(y_i-\overline{y})^2}}\end{split}\]