Category

Multi-Bar Functions

Description

Highest correlation of a stock to a group of stocks

Syntax

CorrelMax(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

CorrelMax(InDJI, ROC(C,1), 20) would return the highest 20-bar correlation of any DJIA constituent to the current stock.

See also Correl, Spearman, CorrelAvg, CorrelMed, CorrelMin, CorrelMinSym, CorrelMaxSym

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