/*********************************Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009. All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes only and may be modified and saved under a new file name. eSignal is not responsible for the functionality once modified. eSignal reserves the right to modify and overwrite this EFS file with each new release.Description: Correlation Version: 1.0 06/10/2009 Formula Parameters: Default: External Symbol EUR a0-fx Length 20 Source of Price Close Notes: FOREX Correlation Indicator **********************************/var fpArray = new Array();var bInit = false;function preMain(){ setPriceStudy(false); setShowCursorLabel(true); setShowTitleParameters(false); setStudyTitle("Correlation"); setCursorLabelName("Correlation", 0); setDefaultBarFgColor(Color.red, 0); setPlotType(PLOTTYPE_HISTOGRAM, 0); setDefaultBarThickness(2, 0); var x = 0; fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER); with(fpArray[x++]) { setLowerLimit(1); setDefault(20); } fpArray[x] = new FunctionParameter("ExternalSymbol", FunctionParameter.STRING); with(fpArray[x++]) { setName("External Symbol"); setDefault("EUR a0-fx"); } fpArray[x] = new FunctionParameter("sPrice", FunctionParameter.STRING); with(fpArray[x++]){ setName("Source of Price"); addOption("open"); addOption("high"); addOption("low"); addOption("close"); addOption("hl2"); addOption("hlc3"); addOption("ohlc4"); setDefault("close"); } }var xCorrelation = null;function main(ExternalSymbol, Length, sPrice) {var nBarState = getBarState();var nCorrelation = 0; if (nBarState == BARSTATE_ALLBARS) { if (ExternalSymbol == null) ExternalSymbol = "EUR a0-fx"; if (Length == null) Length = 20; if (sPrice == null) sPrice = "close"; } if (bInit == false) { setStudyTitle("Correlation "+ExternalSymbol+" ("+sPrice+")"); xCorrelation = efsInternal("Calc_Correlation", ExternalSymbol, Length, sPrice); bInit = true; } nCorrelation = xCorrelation.getValue(0); if (nCorrelation == null) return; return nCorrelation;}var bSecondInit = false;var xOS_PriceValue = null;var xPriceValue = null;var xOS_MAPriceValue = null;var xMAPriceValue = null;function Calc_Correlation(ExternalSymbol, Length, sPrice) {var nRes = 0;var nCor1 = 0;var nCor2 = 0;var nCor3 = 0;var i = 0;var nX = 0;var nY = 0;var nSX = 0;var nSY = 0; if (bSecondInit == false) { xPriceValue = eval(sPrice)(); xMAPriceValue = sma(Length, xPriceValue); xOS_PriceValue = eval(sPrice)(sym(ExternalSymbol)); xOS_MAPriceValue = sma(Length, xOS_PriceValue); bSecondInit = true; } nSX = xMAPriceValue.getValue(0); nSY = xOS_MAPriceValue.getValue(0); if (nSX == null || nSY == null) return; for (i = 0; i < Length; i++) { nX = xPriceValue.getValue(-i); nY = xOS_PriceValue.getValue(-i); nCor1 += (nX - nSX) * (nY - nSY); nCor2 += (nX - nSX) * (nX - nSX); nCor3 += (nY - nSY) * (nY - nSY); } nRes = nCor1 / Math.sqrt(nCor2) / Math.sqrt(nCor3); return nRes;} |
