Correlation

Category: momentum

Calculates the Pearson Correlation Coefficient between two series over a specified rolling window.

Formula

r = \frac{\sum (x_i - \bar{x})(y_i - \bar{y})}{\sqrt{\sum (x_i - \bar{x})^2 \sum (y_i - \bar{y})^2}}

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.