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Correlation

Wasabi Tool: Bitcoin Correlation IndicatorWasabi Tool: Bitcoin Correlation Indicator This indicator shows Kendall's correlation in red and Pearson's correlation in blue. * How to use: As the value is getting near +1, a positive correlation gets stronger. On the other hand, as the value is getting near -1, a negative correlation gets stronger. --- Wasabi Tool: Bitcoin Correlation Indicator(Wasabi 전.나.구. 분석툴: 비트코인 상관관계(correlation) 지표) 는 켄달(Kendall) 와 피어선(Pearson) 상관관계 분석을 사용한 비트코인과의 상관관계(correlation)를 지표로 표시합니다. * 선 의미: 빨간선: 켄달 계수 파산선: 피어선 계수 * 해석: 계수가 1에 가까울수록 양의 상관관계가 강하고 계수가 -1에 가까울수록 음의 상관관계가 강하다.
อินดิเคเตอร์ Pine Script™
โดย WasabiChart
Wasabi Tool: Bitcoin-Dominance Correlation IndicatorWasabi Tool: Bitcoin-Dominance Correlation Indicator This indicator shows Kendall's correlation in red and Pearson correlation in blue. * How to use: As the line is getting near +1, a positive correlation gets stronger. On the other hand, as the line is getting near -1, a negative correlation gets stronger. --- Wasabi Tool: Bitcoin-Dominance Correlation Indicator(Wasabi 전.나.구. 분석툴: 비트코인 도미넌스-상관관계(correlation) 지표) 는 켄달(Kendall) 와 피어선(Pearson) 상관관계 분석을 사용한 비트코인과의 상관관계(correlation)를 지표로 표시합니다. * 선 의미: 빨간선: 켄달 계수 파산선: 피어선 계수 * 해석: 계수가 1에 가까울수록 양의 상관관계가 강하고 계수가 -1에 가까울수록 음의 상관관계가 강하다.
อินดิเคเตอร์ Pine Script™
โดย WasabiChart
Japanese Correlation CoefficientIntroduction This indicator was asked and named by a trading meetup participant in Sevilla. The original question was "How to estimate the correlation between the price and a line as easy as possible", a question who got little attention. I previously proposed a correlation estimate using a modification of the standard score (see at the end of the post) for the estimation of a Savitzky-Golay moving average (LSMA) of order 1, however something faster could maybe be done and this is why i accepted the challenge. Japanese Correlation Correlation is defined as the linear relationship between two variables x and y , if x and y follow the same direction then the correlation increase else decrease. The correlation coefficient is always equal or below 1 and equal or above -1, it also have to be taken into account that this coefficient is quite smooth. Smoothing is not a problem, scaling however require more attention, high price > closing price > low price, therefore scaling can be done. First we smooth the closing/high/low price with a simple moving average of period p/2 , then we take the difference of the smoothed close with the smoothed close p/2 bars back, this result is then divided by the difference between the highest smoothed high's with the lowest smoothed low's over period p/2 . Since we use information provided by candlesticks (close/high/low) i have been asked to publish this estimator with the name Japanese correlation coefficient , this name don't imply the use of data from Japanese markets, "Japanese" is used because of the candlestick method coming from Japan. Comparison I compare this estimation with the correlation coefficient provided in pinescript by the correlation function. The estimation in orange with the original correlation coefficient using n as independent variable in blue with both length = 50. comparison with length = 200. Conclusion I have shown that it is possible to roughly estimate the correlation coefficient between price and a linear function by using different price information. Correlation can be further estimated by using homogeneous bridge OHLC volatility estimators thus making able the use of different independent variables. I really hope you like this indicator and thanks to the meetup participant asking the question, i had a lot of fun making the indicator. An alternative method
อินดิเคเตอร์ Pine Script™
โดย alexgrover
Correlation Volitility Bars [BVCC]This chart will allow you to compare the volatility of correlation of any other instrument to your current chart. When the comparison coin is selected, it will overlay your current bars with additional information that shows up/down correlation to your master chart as well the volatility of that correlation. This can be used to compare other coins to BTC for a quick visual reference of if a coin moves with or against BTC movements. If the comparison coin moves up on the given bar, it is represented by a green histogram ABOVE of your current candle. If the comparison coin moves down, it is represented as a red histogram BELOW your current candle. The height of the correlation candle represents the percentage that the comparison coin moved up or down. The longer the candle, the farther that coin moved. The blue band represents a 'volatility reference' -If your comparison coin stays within this band, then it is moving at an absolute rate which is less than the absolute rate of the master coin. -If your comparison coin moves outside of this band, then it is moving at an absolute rate which is more than the absolute rate of the master coin. A couple of example of how to read this; *******Master Candle = Up | Comparison Candle = Up | Equal to Volatility Band******** This means that when the master went up, so did the comparison coin and they both moved equal amounts ******Master Candle = Up | Comparison Candle = Down | Outside Volatility Band******* This means that when the master went up, the comparison coin went down in response and it's downward response was greater than the corresponding master up movement ******Master Candle = Up | Comparison Candle = Up | Outside Volatility Band******* This means that when the master went up, the comparison candle responded by going up as well but made more % gains than the corresponding master candle. Uses for this indicator would be research into the historical performance of how a specific coin reacts to BTC and whether it is a more or less profitable vehicle than BTC during that time period. If the price is consistently outside of the Volatility band then you can infer that this coin is hypersensitive to BTC movements. If the price is consistently within the bands, then you could infer that your comparison coin is relatively correlated or unfazed by BTC.
อินดิเคเตอร์ Pine Script™
โดย Fifth_Horizon
Trend Validation | www.cryptoalphaindicators.comThis indicator is designed to run in the background and provide a bird's eye view of what the prevailing trend is currently (positive/negative). The navy blue background color indicates a positive trend underway and conversely the red background color indicates a negative trend has been detected. Formulated with Ehler's Force Index and the Exponential Moving average. The areas absent of color indicate that no satisfiable correlation was found between price (ema) and the price-to-volume indicator Ehler's Force Index (EFI). The Trend Validation indicator is available for purchase at www.cryptoalphaindicators.com
อินดิเคเตอร์ Pine Script™
โดย CryptoAlpha_indicators
Light LSMAEstimating the LSMA Without Classics Parameters I already mentioned various methods in order to estimate the LSMA in the idea i published. The parameter who still appeared on both the previous estimation and the classic LSMA was the sample correlation coefficient. This indicator will use an estimate of the correlation coefficient using the standard score thus providing a totally different approach in the estimation of the LSMA. My motivation for such indicator was to provide a different way to estimate a LSMA. Standardization The standard score is a statistical tool used to measure at how many standard deviations o a data point is bellow or above its mean. It can also be used to rescale variables, this conversion process is called standardizing or normalizing and it will be the basis of our estimation. Calculation : (x - x̄)/o where x̄ is the moving average of x and o the standard deviation. Estimating the Correlation Coefficient We will use standardization to estimate the correlation coefficient r . 1 > r > -1 so in (y - x̄)/o we want to find y such that y is always above or below 1 standard deviation of x̄ , i had for first idea to pass the price through a band-stop filter but i found it was better to just use a moving average of period/2 . Estimating the LSMA We finally rescale a line through the price like mentioned in my previous idea, for that we standardize a line and we multiply the result by our correlation estimation, next we multiply the previous calculation by the price standard deviation, then we sum this calculation to the price moving average. Comparison of our estimate in white with a LSMA in red with both period 50 : Working With Different Independents Variables Here the independent variable is a line n (which represent the number of data point and thus create a straight line) but a classic LSMA can work with other independent variables, for exemple if a LSMA use the volume as independent variable we need to change our correlation estimate with (ȳ - x̄)/ô where ȳ is the moving average of period length/2 of y, y is equal to : change(close,length)*change(volume,length) , x̄ is the moving average of y of period length , and ô is the standard deviation of y. This is quite rudimentary and if our goal is to provide a easier way to calculate correlation then the product-moment correlation coefficient would be more adapted (but less reactive than the sample correlation) . Conclusion I showed a way to estimate the correlation coefficient, of course some tweaking could provide a better estimate but i find the result still quite close to the LSMA.
อินดิเคเตอร์ Pine Script™
โดย alexgrover
9
Synergy StatsSynergy Stats This indicator is intended to complement the Synergy indicator. It provides the following statistics: A percentage showing how often the two assets move in the opposite direction over a given lookback period. Similarly, another percentage showing how often the two assets move in the same direction over the same lookback period. Count the number of times (occurrences) when the two assets move in the same direction for more than 4 bars. Count the number of times the alternative asset moves more than x% Count the number of times that chart asset moved in the same direction of the alternative asset when the alternative asset moved more than x% Both indicators were developed for use in an investigation/tutorial using Pine Script to analyse Gold and US Dollar Index correlation. The full free post can be found here: backtest-rookies.com
อินดิเคเตอร์ Pine Script™
โดย BacktestRookies
1
SynergySynergy This indicator was developed for use in an investigation/tutorial using Pine Script to analyse Gold and US Dollar Index correlation. The first indicator shall measure the percentage change between the open and close of each bar and compare it to the same percentage change of an alternative asset. Additionally, we shall color the background when the two assets move in the same direction. This should allow us to more easily see when the two assets move together and spot trends in their moment. The yellow bars show use the percentage change in the price of gold. The blue bars show the percentage change in the price of the US Dollar index. If the bar is above zero, it means that the asset closed up. Conversely, if it is below zero, it means the asset closed down. Finally, the grey bars show bars in which the two assets closed in the same direction. It can be used in conjunction with a second indicator (to be published soon) that provides statistics generated from this indicator. The full free post can be found here: backtest-rookies.com
อินดิเคเตอร์ Pine Script™
โดย BacktestRookies
2
Forex Pairs CorrelatorHi everyone! This tool helps to identify the best positive and negative correlated pairs from 38 well-known Forex pairs. By default it will find the best correlations for your current ticker. If you are a newbie in Correlation Analysis you can find a brief explanation here . Settings Lookback for correlations (default: 14 ) Option to use or not to use current ticker (default: true ) Custom ticker (default: EURUSD ) Choose as many pairs as you want from 38 available pairs. Available pairs USDCAD USDMXN USDBRL USDCHF USDRUB USDTRY USDZAR USDJPY USDCNY CADCHF CADJPY CHFJPY EURUSD EURCAD EURGBP EURCHF EURRUB EURTRY EURJPY EURCNY EURAUD EURNZD GBPUSD GBPCAD GBPCHF GBPRUB GBPJPY GBPCNY GBPAUD GBPNZD AUDUSD AUDCAD AUDCHF AUDJPY AUDCNY AUDNZD NZDUSD NZDJPY How to get access You can buy this tool for 49$ to get lifetime access Cheers!
อินดิเคเตอร์ Pine Script™
โดย everget
1
Crypto USD Pairs CorrelatorHey there! This tool helps to identify the best positive and negative correlated pairs from 38 crypto */USD pairs. By default it will find the best correlations for your current ticker. If you are a newbie in Correlation Analysis you can find a brief explanation here . Settings Lookback for correlations (default: 14 ) Option to use or not to use current ticker (default: true ) Custom ticker (default: BTCUSD ) Choose as many pairs as you want from 38 available pairs. Available pairs ADAUSD BATUSD BCDUSD BCHUSD BCNUSD BNBUSD BTCUSD BTGUSD BTSUSD DASHUSD DCRUSD DGBUSD DOGEUSD EOSUSD ETCUSD ETHUSD ICXUSD IOTAUSD LSKUSD LTCUSD MKRUSD NANOUSD NEOUSD OMGUSD ONTUSD PAXUSD QTMUSD TRXUSD VETUSD WAVESUSD XEMUSD XLMUSD XMRUSD XRPUSD XTZUSD ZECUSD ZILUSD ZRXUSD How to get access You can buy this tool for 49$ to get lifetime access Good luck!
อินดิเคเตอร์ Pine Script™
โดย everget
ETH Pairs CorrelatorHey there! This tool helps to identify the best positive and negative correlated pairs from 38 */ETH cryptocurrency pairs. By default it will find the best correlations for your current ticker. If you are a newbie in Correlation Analysis you can find a brief explanation here . Settings Lookback for correlations (default: 14 ) Option to use or not to use current ticker (default: true ) Custom ticker (default: BTCUSDT ) Choose as many pairs as you want from 38 available pairs. Available pairs ADAETH BATETH BCDETH BCHETH BNBETH BSVETH BTGETH DASHETH DGBETH EOSETH ETCETH HOTETH ICXETH IOTAETH LSKETH LTCETH MKRETH NANOETH NEOETH NPXSETH OMGETH ONTETH QKCETH QTMETH REPETH TRXETH TUSDETH VETETH WAVESETH XEMETH XLMETH XMRETH XRPETH XTZETH XVGETH ZECETH ZILETH ZRXETH How to get access You can buy this tool for 49$ to get lifetime access Good luck!
อินดิเคเตอร์ Pine Script™
โดย everget
BTC Pairs CorrelatorHey there! This tool helps to identify the best positive and negative correlated pairs from 38 */BTC cryptocurrency pairs. By default it will find the best correlations for your current ticker. If you are a newbie in Correlation Analysis you can find a brief explanation here . Settings Lookback for correlations (default: 14 ) Option to use or not to use current ticker (default: true ) You can switch to a custom ticker (default: BTCUSDT ) Choose as many pairs as you want from 38 available pairs. Available pairs ADABTC BATBTC BCDBTC BCHBTC BCNBTC BNBBTC BSVBTC BTGBTC DASHBTC DCRBTC DGBBTC DOGEBTC EOSBTC ETCBTC ETHBTC LSKBTC LTCBTC IOTABTC MKRBTC NANOBTC NEOBTC OMGBTC ONTBTC PAXBTC QTMBTC TRXBTC TUSDBTC USDCBTC VETBTC WAVESBTC XEMBTC XLMBTC XMRBTC XRPBTC XTZBTC ZECBTC ZILBTC ZRXBTC How to get access You can buy this tool for 49$ to get lifetime access Good luck!
อินดิเคเตอร์ Pine Script™
โดย everget
2
Stock Market Indices Correlations HeatmapHello traders! This tool shows you the correlation between well-known stock market indices and selected instrument. Also it has customizable alerts for the strong positive and negative correlations. What are correlation and correlation coefficient? Correlation is a term from mathematical statistics that describes the strength of linear relationship between the variables (in our case: financial instruments). Simply speaking, it describes whether or not instruments move in same/opposite directions. Correlation coefficient is a statistical measure of the correlation and that is bounded in a range of -1 to 1. The most common calculation of the correlation coefficient is the Pearson product-moment method. How to interpret? The darker the color, the stronger the correlation Green colors mean positive correlations Red colors mean negative correlations Transparent colors mean no correlation or absence of the symbol data Supported indices Russell 3000 Russell 2000 NASDAQ Composite NYSE Composite S&P 500 DJIA SSE Composite CSI 300 SZSE Composite NIKKEI 225 HSI 50 DAX 30 FTSE 100 CAC 40 RTSI 50 S&P/TSX 500 S&P/ASX 200 BOVESPA 60 NIFTY 50 BSE 30 IBEX 35 FTSE MIB 40 SMI 20 ATX 20 OMXS 30 KOSPI 200 BIST 100 VN 30 I attach screenshots to show you how it works with other instruments. How to get access Buy for only 59$ to get lifetime access to this indicator Like and follow for more cool indicators! Good luck and happy trading!
อินดิเคเตอร์ Pine Script™
โดย everget
2
Crypto Correlation Matrix Series [SHK]Hi everyone, Although everything's clear from the title but I should describe some basic points. Currency Correlation is a statistical measure of how two securities move in relation to each other. So this script is used to show if current pair (alt-coins) is moving in the same direction of bitcoin (or ethereum) or not. Consider that in crypto market most of alt-coins have correlation of +0.7 with bitcoin, So temporary changes in correlation may signal a reversal or sharp continuation for the alt-coin. "1" : The alt coin is moving in same direction of Bitcoin (Or Ethereum). "0" : The alt coin is moving in random direction compared to Bitcoin. (No movement relation) "-1" : The alt coin is moving in opposite direction of Bitcoin. Important Note: By default average of 15 bars back is measured to calculate the correlation by this script. Please test other periods and share the best options with us. Comments are welcomed :)
อินดิเคเตอร์ Pine Script™
โดย shayankm
7
Forex Correlations HeatmapA utility tool to find linear relationships between major forex pairs and specified symbol. Features 30 well known forex pairs (Pine Script has its limits and incomprehensible "study" errors) Ability to specify any symbol to see correlations Ability to specify a preferred timeframe Ability to specify correlation lookback Ability to specify different sources (standard prices, volumes, true range, double true range) How to interpret The darker the color, the stronger the correlation Green colors mean positive correlations Red colors mean negative correlations Transparent colors mean no correlation or absence of the symbol data How to get access PM me for more details Supported pairs USDCAD USDBRL USDCHF USDRUB USDJPY USDCNY CADCHF CADJPY EURUSD EURCAD EURGBP EURCHF EURRUB EURJPY EURAUD EURNZD CHFJPY GBPUSD GBPCAD GBPCHF GBPJPY GBPAUD GBPNZD AUDUSD AUDCAD AUDCHF AUDJPY AUDNZD NZDUSD NZDJPY Other similar indicators of mine: Crypto Correlations Heatmap Forex Correlations
อินดิเคเตอร์ Pine Script™
โดย everget
Crypto Correlations HeatmapA utility tool to find linear relationships between major cryptocurrency pairs and specified symbol. Features 31 well known cryptocurrency pairs (Pine Script has its limits and incomprehensible "study" errors) Ability to specify any symbol to see correlations Ability to specify a preferred timeframe Ability to specify correlation lookback Ability to specify different sources (standard prices, volumes, true range, double true range) How to interpret The darker the color, the stronger the correlation Green colors mean positive correlations Red colors mean negative correlations Transparent colors mean no correlation or absence of the symbol data How to get access PM me for more details Supported pairs BTCUSD ADAUSD BCHUSD DASHUSD EOSUSD ETCUSD ETHUSD LTCUSD NEOUSD TRXUSD USDTUSD XEMUSD XLMUSD XMRUSD XRPUSD ZECUSD ADABTC BCHBTC DASHBTC EOSBTC ETCBTC ETHBTC LTCBTC NEOBTC TRXBTC USDTBTC XEMBTC XLMBTC XMRBTC XRPBTC ZECBTC
อินดิเคเตอร์ Pine Script™
โดย everget
10
Asset Correlation Tool v2Correlation amongst assets is the degree to which they move in tandem. This indicator measures correlation between different assets. Why is that important? To any investor diversification is a very important technique for reducing risk. The problem is that most misunderstand it. Most people tend to think diversification is achieved simply by investing in a variety of assets instead of just a few. This is wrong. The whole point of diversification is to be invested in assets with different growth drivers. A portfolio consisting of +20 highly correlated assets (Your cryptobags, probably) is the OPPOSITE of diversification. This is taking on risk without being compensated for it. Which is contradictory to the fundamental reason for why you do invest in assets. Proper diversification is achieved when you reduce the correlation between the assets in your portfolio. HOW TO USE To use this tool, add it to your favorites and then add it to your chart. It will by default only show the correlation between an altcoin index and the current chart symbol. If you go to its settings you can add its correlation to the stock market, gold and you can also easily customize it to any security you want. 0.5 to 1.0: Strong positive correlation Around 0: Little to no correlation -0.5 to -1.0: Strong negative correlation Took a few hours to build this one. It would be super helpful if you can take a look at the index I used - I'm convinced there are better and more accurate methods to this one. But best I could come up with Later I will evolve this one to an oscillator that measures the relation between cross coin correlations and volatility. Inspired by some great work by @cryptorae If you have any requests or ideas please shoot Updates v0.2 - Added altcoin index - Changed some calculations - Restructed code
อินดิเคเตอร์ Pine Script™
โดย Supervillain