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Category
Multi-Bar Functions
Description
Spearman Rank Correlation of two series
Syntax
Spearman(expr1, expr2, count)
Parameters
expr1 - data series formula
expr2 - data series formula
count - lookback period
Notes
See this link for a general description of this approach to correlation.
This implementation handles ties correctly. Output will match Python scipy.spearmanr.
A typical use case is this indicator, i.e., 100 * Spearman(C, FunBar, 10).
See also Correl, CorrelAvg, etc.
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