Watch how to download trading robots for free

Interesting script?
So post a link to it -
let others appraise it

You liked the script? Try it in the MetaTrader 5 terminal

Indicators

Spearman rank correlation - floating levels - indicator for MetaTrader 5

Mladen Rakic

Views:
932
Rating:
votes: 7
Published:
2018.10.28 21:33
Updated:
2018.10.28 21:34

Usually when Spearman rank is used, it is coupled with some fixed levels that, once when crossed, should indicate high "strength" of correlation (positive or negative, does not matter). This version is a Spearman rank correlation with an addition of floating levels to be used instead of using fixed level as a measure of high or low correlation ratio.


Theory :

A nonparametric (distribution-free) rank statistic proposed by Spearman in 1904 as a measure of the strength of the associations between two variables (Lehmann and D'Abrera 1998). The Spearman rank correlation coefficient can be used to give an R-estimate, and is a measure of monotone association that is used when the distribution of the data make Pearson's correlation coefficient undesirable or misleading.

The Spearman rank correlation coefficient is defined by


where is the difference in statistical rank of corresponding variables, and is an approximation to the exact correlation coefficient

Usage :

You can use the color change as a signal 

PS: the "big picture" example that can show why it seems that floating levels are adding to the estimation when Spearman rank is used

Adaptive ATR channel Adaptive ATR channel

Adaptive ATR channel

MinMax indicator MinMax indicator

MinMax indicator

Trend direction and force - DSEMA smoothed Trend direction and force - DSEMA smoothed

Trend direction and force - double smoothed EMA smoothed

Swami stochastic Swami stochastic

Swami stochastic