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. This functions has two built in safety features:
1) If the stock being analyzed does not have at least 80% of the number of samples requested the function returns NA.
2) If the serie(s) you specify do not have at least 80% of the number of samples requested the function will generate an error.
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.
Series Parameter
By default, technical functions access the time series of the instrument in context. Normally, that is the Stock or ETF currently being evaluated or ranked. In specialized Ranking Nodes, the context depends on the node type. For example, in an "Industry Node" (used to rank Industries against each other), the industry benchmarks are the default 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 | |
Pre-defined 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 |