Correlation

[jerrylee]

Is there a function I can use to calculate the correlation of 2 series?
If not has anyone written a correlation function and is happy to share?

[NinjaTrader_Ray]

Unfortunately not supplied by NT.

[jerrylee]

I actually found a nice simple piece of C# code on Correlation which I just used.

http://www.codeproject.com/KB/cs/Statistics.aspx

[marketmasher]

I actually found a nice simple piece of C# code on Correlation which I just used.

http://www.codeproject.com/KB/cs/Statistics.aspx

This is the code snippet from the link: public static void GetCorrelation( double[] x, double[] y, ref double covXY, ref double pearson) { if ( x.Length != y.Length ) throw new Exception(&quot;Length of sources is different&quot; double avgX = GetAverage( x ); double stdevX = GetStdev( x ); double avgY = GetAverage( y ); double stdevY = GetStdev( y ); int len = x.Length; for ( int i = 0; i < len; i++ ) covXY += ( x[i] - avgX ) * ( y[i] - avgY ); covXY /= len; pearson = covXY / ( stdevX * stdevY ); } } } I am just learning some C#/NinjaT and can't locate the place to insert this code. I tried where there were similar types of code blocks, but when I compile the inserted code is automatically removed. Other locations produced compile errors. Could someone point out where this should be placed to compile properly?

[NinjaTrader_Bertrand]

You want to create a new indicator with this you can then call from strategies or you add this to the 'user defined methods' cs for future reference.