Category

Multi-Bar Functions

Description

Pearson's Correlation of two series

Syntax

Correl(expr1, expr2, count)

Parameters

expr1 - data series formula

expr2 - data series formula

count - lookback period

Notes

Correl(ROC(C,1), Extern($SPY, ROC(C,1)), 100) would be a simple way to calculate the rolling 100-day correlation of a stock to SPY.

See also Spearman, CorrelAvg, etc.

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