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| Pearsons Correlation - Across multiple currency pairs |
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ben
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| Post subject: Pearsons Correlation - Across multiple currency pairs |
Post rating: 0
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Posted: Sat 13 Dec, 2014, 21:36
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User rating: 0
Joined: Sat 13 Dec, 2014, 21:30
Posts: 1
Location: United KingdomUnited Kingdom
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Hi Support,
I am looking to calculate the correlation between currency pairs, rather than the correlation between a single currency pairs open/close price.
I can see the following:
IIndicatorCalculator<Double,double[]> correl(IFeedDescriptor feedDescriptor,
IIndicators.AppliedPrice appliedPrice1,
OfferSide side1,
IIndicators.AppliedPrice appliedPrice2,
OfferSide side2,
int timePeriod)
This looks to only calculate for price correlation for a single currency pair. What would be the best way to calculate the correlation metric across the close prices between two currencies on this platform?
Thanks
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API Support
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| Post subject: Re: Pearsons Correlation - Across multiple currency pairs |
Post rating: 0
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Posted: Mon 15 Dec, 2014, 14:42
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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Please consider this indicator version.
| Attachments: |
PearsonCorrelationCoefficient2.java [6.09 KiB]
Downloaded 105 times
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