I don't remember where I got this, but it runs an arbitrary watch list against
itself to get a correlation matrix
ReefBreak
// Exploration to create Correlation matrix original by Herman Van Ven Bergen
// In AutoAnalyzer, set Apply to -> Use Filter -> WatchList to same list as
Param -> ListNumber (zero based)
// Then set LookBackPeriods
// Modified by ReefBreak
// April, 2008
Listnumber = Param("Listnumber",1,1,263,1);
LookBackPeriods = Param("Lookback Periods",3,1,252,1);
Buy=Sell=Short=Cover=0;
Filter = 1;
list = GetCategorySymbols( categoryWatchlist, Listnumber);
for( NumTickers=0; NumTickers < 99 AND StrExtract( list, NumTickers ) != "";
NumTickers++ );
{
//AddTextColumn(Name(),"Ticker",1.0);
for( Col=0; Col<NumTickers; Col++)
{
Ticker1 = Name();
Ticker2 = StrExtract( list, Col);
Var1 = Foreign(Ticker1,"C");
Var2 = Foreign(Ticker2,"C");
Test = Correlation( Var1, Var2, LookBackPeriods );
Color = IIf(Test>0, colorGreen, IIf(Test<0, colorRed,
colorWhite));
Color = IIf(Ticker1==Ticker2, 1, color);
AddColumn( Test, Ticker2, 1.3, color);
}
}
--- In [email protected], Rajiv Arya <rajivary...@...> wrote:
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> correlation function
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> To: [email protected]
> From: joseph_occhipi...@...
> Date: Thu, 7 Jan 2010 18:46:49 -0800
> Subject: [amibroker] Non-correlated markets in AB
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> Hi all
>
> Im in the process of looking into a couple of different trading strategies in
> commodities. I am keen to trade a basket of commodties simultaneously but i
> am mindful of not chosing a group that are strongly correlated (say 80%+), be
> it positively or inversely.
>
> My question to AB users is as follows - is there a function in AB that allows
> me to gauge such information?
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> Or is it merely a case of eyeballing several charts and overlaying them on
> each other?
> ieal scenario would be to trade say 8 - 10 markets, all mostly uncorrelated
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> could be:
> 5 commodities;
> 3 FX;
> 2 indicies.
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> Cheers
> Joe
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