mcorr
Syntax
mcorr(X, Y, window, [minPeriods])
Please see Moving Functions (m-functions) for the parameters and windowing logic.
Details
Calculate the correlation of X and Y in a sliding window.
Examples
$ x=1..8
$ y=9 5 3 4 5 4 7 1
$ mcorr(x,y,5);
[,,,,-0.624038,0,0.834058,-0.29173]
$ mcorr(x,y,5,3);
[,,-0.981981,-0.834497,-0.624038,0,0.834058,-0.29173]
$ x1 = indexedSeries(date(2020.06.05)+1..8, x)
$ y1 = indexedSeries(date(2020.06.05)+1..6 join 2020.06.15 join 2020.06.16, y)
$ mcorr(x1,y1,5d)
label |
col1 |
|---|---|
2020.06.06 |
|
2020.06.07 |
-1 |
2020.06.08 |
-0.982 |
2020.06.09 |
-0.8345 |
2020.06.10 |
-0.624 |
2020.06.11 |
0 |
2020.06.12 |
0.6325 |
2020.06.13 |
0 |
$ mcorr(x1,y1,1w)
label |
col1 |
|---|---|
2020.06.06 |
|
2020.06.07 |
-1 |
2020.06.08 |
-0.982 |
2020.06.09 |
-0.8345 |
2020.06.10 |
-0.624 |
2020.06.11 |
-0.6116 |
2020.06.12 |
-0.6116 |
2020.06.13 |
0 |