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Analyzer of correlations

The Expert Advisor alows to calculate the statistical correlations (Pearson linear correlation) between the specified symbols. The results can be represented in 3 variants.

1st variant – statistical correlation between 20 symbols. It shown as a table and looks as follows:

 Ticker 1
Ticker 2
    ...   
 Ticker 19
Ticker 20
Ticker 1





Ticker 2





...





Ticker 19





Ticker 20
     


2nd variant – correlation between 2 symbols, depending on price type and timeframe:

Price type
M1M2
 ...
W1MN1
Close price





Open price





High price





Low price





Median price





Typical price
     
Weighted price
     


3rd variant – correlation of 20 symbols depending on timeframe. The number of bars, used for the calculation can be specified for each timeframe. It looks as follows:

  M1 M2 ... W1MN1
Tickers pair 1





Tickers pair 2





...





Tickers pair 19





Tickers pair 20






Input parameters (for all variants):

  • Timer interval – time interval in seconds (time to update the results).
  • Type display – variant (can be one of Type 1, Type 2, Type 3).
  • Color [0.9, 1.0], Color [0.8, 0.9), Color [0.7, 0.8), Color [0.6, 0.7), Color [0.5, 0.6), Color [0.4, 0.5), Color [0.3, 0.4), Color [0.2, 0.3), Color [0.1, 0.2), Color [0.0, 0.1), Color (-0.1, 0.0), Color (-0.2, -0.1], Color (-0.3, -0.2], Color (-0.4, -0.3], Color (-0.5, -0.4], Color (-0.6, -0.5], Color (-0.7, -0.6], Color (-0.8, -0.7], Color (-0.9, -0.8], Color [-1.0, -0.9] – colors for different correlations.

1st variant (input parameters):

  • Time frame – timeframe for analysis (supported timeframes: 1 Minute, 2 Minutes, 3 Minutes, 4 Minutes, 5 Minutes, 6 Minutes, M10 Minutes, M12 Minutes, M15 Minutes, M20 Minutes, M30 Minutes, 1 Hour, 2 Hours, 3 Hours, 4 Hours, 6 Hours, 8 Hours, 12 Hours, 1 Day, 1 Week, 1 Month).
  • Prices – price type, used for the analysis (supported  price types: Close price, Open price, High price, Low price, Median price, Typical price, Weighted price).
  • Length analysis - number of bars, used for the calculation;
  • Ticker 1 .. Ticker 20 – any symbols, availiable in MarketWatch window.

2nd variant (input parameters):

  • Ticker 01, Ticker 02 – any symbol from Market Watch window.
  • Length analysis M1 … MN1 (M1, M2, M3, M4, M5, M6, M10, M12, M15, M20, M30, H1, H2, H3, H4, H6, H8, H12, D1, W1, MN1) – number of bars. used for the calculation for each timeframe.

3rd variant (input parameters):

  • Pair 01, Ticker 01 ... Pair 20, Ticker 01 – First symbol (one of 20 symbols).
  • Pair 01, Ticker 02 ... Pair 20, Ticker 02 - Second symbol (one of 20 symbols).
  • Length analysis M1 … MN1 (M1, M2, M3, M4, M5, M6, M10, M12, M15, M20, M30, H1, H2, H3, H4, H6, H8, H12, D1, W1, MN1) - number of bars, used for the calculation for each timeframe.


Price type:

Price
Description
Close price
Цена закрытия
Open price
Цена открытия
High price
Maximum price of the period
Low price
Minimum price of the period
Median price
Median = (high+low)/2
Typical price
Typical = (high+low+close)/3
Weighted price
Weighted = (high+low+close+close)/4


Timeframes:

 TimeframeDescription
TimeframeDescription TimeframeDescription
M1
1 minute
M2
2 minutes
M3
3 minutes
M4
4 minutes
M5
5 minutes
M6
6 minutes
M10
10 minutes
M12
12 minutes
M15
15 minutes
M20
20 minutes
M30
30 minutes
H1
1 hour
H2
2 hours
H3
3 hours
H4
4 hours
H6
6 hours
H8
8 hours
H12
12 hours
D1
Daily (1 day)
W1
Weekly (1 week)
MN1
Monthly (1 month)


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