RollingCorrelation is a technical indicator that calculates the rolling 1-period Pearson correlation of close prices over a configurable window, typically set to 20 bars. It measures the lag-1 autocorrelation of price data, producing values between -1 and +1. Values near +1 indicate strong positive autocorrelation, suggesting trend continuation, while values near -1 indicate strong negative autocorrelation, signaling oscillatory or reversal behavior. Values near zero imply little or no linear autocorrelation.
For each bar, the indicator computes the Pearson correlation coefficient between the series of close prices and the same series shifted by one bar within the specified period. This calculation uses standard covariance and variance formulas to generate a single correlation value per bar.
Traders can use this indicator to identify trend strength or potential reversals, applying threshold crossings or sustained changes in correlation as signals. It is useful for trend-following strategies when correlation is positive and for mean-reversion tactics when correlation is negative. The indicator can be combined with volatility filters and other trend indicators for confirmation. It supports various markets including Forex, stocks, indices, commodities, and cryptocurrencies, and is applicable across multiple timeframes from scalping (M1–M15) to swing trading.
The indicator requires at least Period+1 bars to compute values and is intended as a supplementary tool rather than a standalone trading system.