Multi-symbol robots and indicators
RE:
danblackadder said:
BUMP. Multi-symbol support in back testing when? I have been waiting over 2 years for this...
Hi danblackadder,
It will be included in 3.7
Best Regards,
Panagiotis
RE: Correlation Coefficient
cAlgo_Fanatic said:
The correlation coefficient compares how currency pairs have moved in relation to each other.
The correlation coefficient formula is:
using System; using cAlgo.API; using cAlgo.API.Internals; namespace cAlgo.Indicators { [Levels(-1, -0.5, 0, 0.5, 1)] [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, ScalePrecision = 2)] public class CorrelationCoefficient : Indicator { private MarketSeries series2; private Symbol symbol2; [Parameter(DefaultValue = "EURUSD")] public string Symbol2 { get; set; } [Parameter(DefaultValue = 22)] public int Period { get; set; } [Output("Correlation Coefficient", Color = Colors.Yellow)] public IndicatorDataSeries Result { get; set; } protected override void Initialize() { symbol2 = MarketData.GetSymbol(Symbol2); series2 = MarketData.GetSeries(symbol2, TimeFrame); } public override void Calculate(int index) { if (index < Period) return; double sumX = 0, sumY = 0, sumXY = 0, sumX2 = 0, sumY2 = 0; double x, y, x2, y2; int index2 = GetIndexByDate(series2, MarketSeries.OpenTime[index]); if (index2 == -1) return; for (int i = 0; i < Period; i++) { x = MarketSeries.Close[index - i]; y = series2.Close[index2 - i]; x2 = x * x; y2 = y * y; sumX += x; sumY += y; sumXY += x * y; sumX2 += x2; sumY2 += y2; } Result[index] = (Period * (sumXY) - sumX * sumY) / Math.Sqrt((Period * sumX2 - sumX * sumX) * (Period * sumY2 - sumY * sumY)); } private int GetIndexByDate(MarketSeries series, DateTime time) { for (int i = series.Close.Count - 1; i >= 0; i--) { if (time == series.OpenTime[i]) return i; } return -1; } } }
Good night,
I want to get the correlation of 2 symbols, for example EURGBP with GBPCHF but showing on EURUSD chart.
Can someone help me?
Thank you so much
