This function can be used to calculate the correlation coefficient (-1.0 to 1.0) of the stock being examined with a series. If a second series is specified, it calculates the correlation coefficient between them. If any of the series used have fewer than 80% of the number of samples requested, the function returns NA.
FYI: you can use ShowCorrel() in the screener to generate a report with a correlation matrix.
Parameters
period: number of bars used for calculating returns
samples: number of samples
series: the first series (see below)
series2: the second series (optional)
Examples
Calculate the correlation of the 1 day returns for the past three months of the stock vs. it's industry
Correl(1,62,#Industry)
Calculate the correlation of the 5 day returns for the past year of the stock vs. the ETF for the S&P500.
Correl(5,52,GetSeries("SPY"))
NOTES:
- See TIME SERIES IDS for the series ids.
- You can also use the GetSeries("ticker") functions
- Always use times series in the same country so that holidays line up.
By default, technical functions access the time series of the instrument in context. You can specify a different time-series in several ways like: using GetSeries(), specifying a StockID directly, or using a time series id. See the examples below.
Examples
Get the latest close price using Close(0, series) using different methods for different time series.
| Using the ID directly | |
| Using the StockID for SPY:USA* | Close(0, 24262) |
| For the Industry series of the stock being evaluated | Close(0,#Industry) |
| Using a Time Series Id | Close(0,$RUI) |
| For the benchmark | Close(0, #Bench) |
| Using GetSeries | |
| Using a fully qualified ticker | Close(0, GetSeries("SPY:USA")) |
| When USA is your default | Close(0, GetSeries("SPY")) |
| See GetSeries() for more examples like for aggregate series | |
| * StockIDs never change | |
Predefined Series IDs
These are special series ids. Additional Series Ids can be found in the reference under: MISC→TIME SERIES IDs
| Id | Description | Freq | OHLC |
| Industry and Sector | |||
| #Sector | Stock's Sector | Daily | C |
| #SubSector | Stock's SubSector | Daily | C |
| #Industry | Stock's Industry | Daily | C |
| #SubIndustry | Stock's SubIndustry | Daily | C |
| Miscellaneous | |||
| #Bench | Benchmark closing prices | Daily | C |
| #TNX | 10Y Treasury Note | Daily | OHLC |
| FED Model series (chart) | |||
| #SPRP | SP500 Risk Premium | Weekly | C |
| #SPEPSCY | SP500 EPS CurrentY | Weekly | C |
| #SPEPSNY | SP500 EPS NextY | Weekly | C |
| #SPEPSCNY | SP500 EPS Blend Y | Weekly | C |
| #SPEPSQ | SP500 EPS Blend Q | Weekly | C |
| #SPEPSTTM | SP500 EPS Trailing 12 months | Weekly | C |
| #SPYield | SP500 Yield | Weekly | C |
Special Series Ids for Moving Averages & Highest/Lowest functions
| Id | Description | Context |
| #Open | Open prices | Stock & ETF |
| #High | High prices | Stock & ETF |
| #Low | Low prices | Stock & ETF |
| #Vol | Volumes | Stock & ETF |