/*-----------------------------+
| |
| Shared by www.Aptrafx.com |
| |
+------------------------------*/
//+------------------------------------------------------------------+
//| Correlation.mq4 |
//| Cubesteak |
//| cubesteak@gmail.com |
//+------------------------------------------------------------------+
#property copyright "Cubesteak"
#property link "cubesteak@gmail.com"
//+------------------------------------------------------------------+
//| My function |
//+------------------------------------------------------------------+
double Correlation (double x[],double y[])
{
int N = ArraySize(x);
double delta_x=0;
double delta_y=0;
double sum_sq_x = 0;
double sum_sq_y = 0;
double sum_coproduct = 0;
double mean_x = x[0];
double mean_y = y[0];
for (int i=0;i<N-1;i++)
{
double sweep = (i - 1.0) / i;
delta_x = (x[i] - mean_x);
delta_y = (y[i] - mean_y);
sum_sq_x += delta_x * delta_x * sweep;
sum_sq_y += delta_y * delta_y * sweep;
sum_coproduct += delta_x * delta_y * sweep;
mean_x += (delta_x / i);
mean_y += (delta_y / i);
}
double pop_sd_x = MathSqrt( sum_sq_x / N );
double pop_sd_y = MathSqrt( sum_sq_y / N );
double cov_x_y = (sum_coproduct / N);
double correlation = (cov_x_y / (pop_sd_x * pop_sd_y));
return (correlation);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Indicator Curves created:
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
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