Full Description
This function generates correlation coefficient matrix in the screener report of all the stocks that pass the criteria (max 500). The column headers for the matrix
are generated from the tickers. Only one ShowCorrel function can be present in the screening rules.
Parameters
period: number of bars used for calculating returns
samples: number of samples
Examples
Show the correlation matrix for 1 day returns over 3 months for the 4 largest companies in the industry "Delivery and Logistics Services". Enter the following rules in the screener:
Industry=DELIVERY and FOrder("MktCap",#Industry,#Desc) <= 4
ShowCorrel(1,62)
Run the screen and set the report to be "Screen Factors". The Report will look something like this:
Ticker | Name | MktCap | r CHRW | r EXPD | r FDX | r UPS |
CHRW | C.H. Robinson Worldwide Inc. | 10,643.2 | 1 | 0.62 | 0.58 | 0.42 |
EXPD | Expeditors Intl of Washington | 8,842.25 | 0.62 | 1 | 0.66 | 0.52 |
FDX | FedEx Corp. | 49,996.24 | 0.58 | 0.66 | 1 | 0.7 |
UPS | United Parcel Service Inc | 92,425.32 | 0.42 | 0.52 | 0.7 | 1 |