Class IndicatorsCorrrelation

Collection of correlation indicators.

Inheritance

object

IndicatorsCorrrelation

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Indicators

Assembly: TuringTrader.Simulator.dll

Syntax

public static class IndicatorsCorrrelation

Methods

Correlation(ITimeSeries<double>, ITimeSeries<double>, int, int, CacheId, string, int)

Calculate Pearson Correlation Coefficient. https://en.wikipedia.org/wiki/Pearson_correlation_coefficient

Declaration

public static ITimeSeries<double> Correlation(this ITimeSeries<double> series, ITimeSeries<double> other, int n, int subSample = 1, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	this time series
ITimeSeries<double>	other	other time series
int	n	number of bars
int	subSample	distance between bars
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	correlation coefficient time series

Covariance(ITimeSeries<double>, ITimeSeries<double>, int, int, CacheId, string, int)

Calculate Covariance. https://en.wikipedia.org/wiki/Covariance

Declaration

public static ITimeSeries<double> Covariance(this ITimeSeries<double> series, ITimeSeries<double> other, int n, int subSample = 1, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	this time series
ITimeSeries<double>	other	other time series
int	n	number of bars
int	subSample	distance between bars
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	covariance time series