coeffR

Description

This formula calculates the correlation coefficient R, which is a measurement of the linear relationship between two variables.

Formula

coeffR(instrument, Length, targetBar)=begin

  R=0

  X=0

  Y=0

  UpEQ=0

  LowEQ1=0

  LowEQ2=0

  LowEQT=0

  UpEQ = Summation(instrument, BATE_INDEXxCLOSE, Length, targetBar) - Length * AveragePrice(instrument, BATE_BARINDEX, Length, targetBar) * AveragePrice(instrument, BATE_CLOSE, Length, targetBar)

  LowEQ1 = Summation(instrument, BATE_BARINDEX_SQUARED, Length, targetBar) - Length * (AveragePrice(instrument, BATE_BARINDEX, Length, targetBar)^2)

  LowEQ2 = Summation(instrument, BATE_CLOSE_SQUARED, Length, targetBar) - Length * (AveragePrice(instrument, BATE_CLOSE, Length, targetBar)^2)

  if (LowEQ1 * LowEQ2) > 0 then begin

    LowEQT = Sqrt(LowEQ1 * LowEQ2)

  end

  if LowEQT != 0  then begin

    R = UpEQ / LowEQT

  end

  R

end

Parameters

instrument

An instrument.

Length

This study calculates several averages. The Length parameter is the number of periods, or bars, you want to average. There is no default value.

targetBar

The bar, as oriented with the current bar, you want to analyze.

Return Value

The correlation coefficient R

Examples

RSquared_1(instrument, Length, targetBar)=begin

  RSquared = coeffR(instrument, Length, targetBar) ^ 2

end

Comments

NA