Correlation
Created at 20 Sep 2018, 23:41
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;
}
Replies
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
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