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Category
Multi-Bar Functions
Description
Average correlation of a stock to a group of stocks
Syntax
CorrelAvg(filter, expr, count, spearman {0}, log {0})
Parameters
filter - stock filter formula
expr - value to correlate
count - lookback period
spearman {0} - use Spearman's Rank Correlation method (default is to use Pearson's Correlation)
log {0} - log the individual correlations when the formula is evaluated
Notes
CorrelAvg(InDJI, ROC(C,1), 20) would return the average 20-bar correlation of each DJIA constituent to the current stock.
See also Correl, Spearman, CorrelMed, CorrelMin, CorrelMinSym, CorrelMax, CorrelMaxSym
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