simple 2 symbol correlation with slow and fast moving correlation
//@version=2
study("@seven.aces correlations")
Llen=input(21,"Long Length")
Slen=input(7,"Short Length")
sym1_=input('SPY', "Symbol #1")
sym2_=input('TLT', "Symbol #2")
sym1=security(sym1_ ,period , close )
sym2=security(sym2_ ,period , close )
Lcorr=correlation(sym1,sym2,Llen)
Scorr=correlation(sym1,sym2,Slen)
plot(Lcorr,color=blue)
plot(Scorr,color=red)
hline(0)
hline(-1)
hline(1)