I have read as many threads about correlation as the yahoo search engine will
give me before crapping out repeatedly and I am still puzzled on how to do the
following.
from the AB help files:
// Correlation between Close price AND AND Close price 5 days back
Correlation( Close, Ref( Close, -5 ), 5 );
I am computing the monthly ROC from monthend to monthend for a fund and and
index and would like to calculate the correlation of the entire array of fund
ROC and index ROC across all the monthend data.
I am trying to do this as follows:
//Create an array with true on month end days
Monthend =Month() != Ref(Month(), 1);
//count how many month ending dates there are for the data
totmonths = Cum(Monthend);
//Find the array index value of the first month end day
startday = 0;
for(m = 0; m < 1; m++)
{
if (Monthend[m] == 0)
startday++;
}
Filter = Monthend;
fsym = Foreign( AnySymbol, "C" );
idxroc = 0;
symroc = 0;
totcount = 0;
//get a starting value on the first month end date for the fund and //the index
symprevval = C[startday];
idxprevval = fsym[startday];
//start a loop on the next day after the first month end date
for(d = startday + 1;d <= BarCount -1;d++)
{
if(Monthend[d] == 1) //It is a month end day
{
idxroc[totcount] = ((C[d]/idxprevval) - 1); //ROC from month
end to month end and assign to an array
symroc[totcount] = ((fsym[d]/symprevval) - 1); //ROC from month
end to month end and assign to an array
//record the current value as the previous value for the next
loop calculations
idxprevval = C[d];
symprevval = fsym[d];
totcount++; //keep track of the total month end calc so far
}
}
Corr = Correlation( idxroc, symroc, -totcount );
// I have tried this one below as well with similar results.
//Corr = Correlation( idxroc, symroc, -1 );
AddColumn( Corr, "Corr", 8.5);
My problem is (I think), that I am trying to calculate a scalar while the
Correlation function is calculating a vector. Not only that, but the
exploration is returning a -1.#INFO value in the column. I am also not certain
that the number the correlation function will return is a correlation of the
entire range or if it is only calculating the correlation between each value
and the value x bars back.
Jack
