Correlation

Created at 20 Sep 2018, 23:41

DelFonseca

Joined 25.06.2017

Correlation
20 Sep 2018, 23:41

Good evening,

I am developing a correlation bot but im stuck in the correlation calculation.

Result indicates that its not a number.

Follow the code below and thank you for your cooperation.

        private void CoefCorrel()
        {
            int index = 0;
            SubSymbolGetSeries = MarketData.GetSeries(SubSymbol, TimeFrame);
            var SubSymbolGetSymbol = MarketData.GetSymbol(SubSymbol);
            int CountOfBars = 24;
            double Result = 0;

            double sumX = 0, sumY = 0, sumXY = 0, sumX2 = 0, sumY2 = 0;
            double x, y, x2, y2;

            int index2 = GetIndexByDate(SubSymbolGetSeries, SubSymbolGetSeries.OpenTime[index]);

            if (index2 == -1)
                return;

            for (int i = 0; i < CountOfBars; i++)
            {
                x = MarketSeries.Close[index - i];
                y = SubSymbolGetSeries.Close[index2 - i];

                x2 = x * x;
                y2 = y * y;
                sumX += x;
                sumY += y;
                sumXY += x * y;
                sumX2 += x2;
                sumY2 += y2;
            }

            Result = (CountOfBars * (sumXY) - sumX * sumY) / Math.Sqrt((CountOfBars * sumX2 - sumX * sumX) * (CountOfBars * sumY2 - sumY * sumY));

            ChartObjects.DrawText("LabelCorrel2", "\n\n\n\n\n\n\n\n\nAverageSubSymbol: " + Result, StaticPosition.TopLeft, Colors.GreenYellow);
        }

        private int GetIndexByDate(MarketSeries series, DateTime time)
        {
            for (int i = SubSymbolGetSeries.Close.Count - 1; i >= 0; i--)
            {
                if (time == SubSymbolGetSeries.OpenTime[i])
                    return i;
            }
            return -1;
        }

@DelFonseca

Replies

afhacker
21 Sep 2018, 07:16

        public static double GetCorrelation(DataSeries dataSeries, DataSeries otherDataSeries)
        {
            double[] values1 = new double[dataSeries.Count];
            double[] values2 = new double[dataSeries.Count];

            for (int i = 0; i < dataSeries.Count; i++)
            {
                values1[i] = dataSeries.Last(i);
                values2[i] = otherDataSeries.Last(i);
            }

            var avg1 = values1.Average();
            var avg2 = values2.Average();

            var sum = values1.Zip(values2, (x1, y1) => (x1 - avg1) * (y1 - avg2)).Sum();

            var sumSqr1 = values1.Sum(x => Math.Pow((x - avg1), 2.0));
            var sumSqr2 = values2.Sum(y => Math.Pow((y - avg2), 2.0));

            return Math.Round(sum / Math.Sqrt(sumSqr1 * sumSqr2), 2);
        }

This function returns the correlation between two data series.

@afhacker

afhacker
21 Sep 2018, 07:21

For double generic collections you can use this method:

        public static double Correlation(IEnumerable<double> x, IEnumerable<double> y)
        {
            double xSum = x.Sum();
            double ySum = y.Sum();

            double xSumSquared = Math.Pow(xSum, 2);
            double ySumSquared = Math.Pow(ySum, 2);

            double xSquaredSum = x.Select(value => Math.Pow(value, 2)).Sum();
            double ySquaredSum = y.Select(value => Math.Pow(value, 2)).Sum();

            double xAndyProductSum = x.Zip(y, (value1, value2) => value1 * value2).Sum();

            double n = x.Count();

            return ((n * xAndyProductSum) - (xSum * ySum)) / Math.Sqrt(((n * xSquaredSum) - xSumSquared) * ((n * ySquaredSum) - ySumSquared));
        }

@afhacker

DelFonseca
21 Sep 2018, 20:36

RE:

afhacker said:

For double generic collections you can use this method:

        public static double Correlation(IEnumerable<double> x, IEnumerable<double> y)
        {
            double xSum = x.Sum();
            double ySum = y.Sum();

            double xSumSquared = Math.Pow(xSum, 2);
            double ySumSquared = Math.Pow(ySum, 2);

            double xSquaredSum = x.Select(value => Math.Pow(value, 2)).Sum();
            double ySquaredSum = y.Select(value => Math.Pow(value, 2)).Sum();

            double xAndyProductSum = x.Zip(y, (value1, value2) => value1 * value2).Sum();

            double n = x.Count();

            return ((n * xAndyProductSum) - (xSum * ySum)) / Math.Sqrt(((n * xSquaredSum) - xSumSquared) * ((n * ySquaredSum) - ySumSquared));
        }

Thank you very much for your feedback.
Please tell me how I can make correlation value print.

@DelFonseca

Copyright © 2024 Spotware Systems Ltd. All rights reserved.
The services provided by Spotware Systems Ltd. are not available to citizens or residents of the USA. Neither is the information on our websites directed toward soliciting citizens or residents of the USA.