Autocorrelation Function (ACF)

Category: cycle, momentum

Measures the self-similarity of a time series against a lagged version of itself to identify mean-reversion or trend persistence.

Formula

\rho_k = \frac{\sum_{t=k+1}^{n} (y_t - \bar{y})(y_{t-k} - \bar{y})}{\sum_{t=1}^{n} (y_t - \bar{y})^2}

Inputs

• Source (default: close)
• Period (default: 20)
• Lag (default: 1)

See signal primitives and every published strategy that uses Autocorrelation Function (ACF) on WOBR StrategyVerse.