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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/statistics/correlation/Correlation.md
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| **PineScript** | [correlation.pine](correlation.pine) |
- The Pearson Correlation Coefficient measures the linear relationship between two variables, returning a value from -1 (perfect negative correlation...
- Parameterized by `period` (default 20).
- Output range: Varies (see docs).
- Requires `period` bars of warmup before first valid output (IsHot = true).
- **Similar:** [Spearman](../spearman/Spearman.md), [Kendall](../kendall/Kendall.md) | **Trading note:** Pearson correlation; measures linear relationship strength. Used for portfolio diversification and pairs trading.
- Validated against TradingView reference behavior and mathematical invariants.
The Pearson Correlation Coefficient measures the linear relationship between two variables, returning a value from -1 (perfect negative correlation) to +1 (perfect positive correlation). Zero indicates no linear relationship. This implementation uses running sums for O(1) streaming updates, making it suitable for real-time analysis of price relationships.
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- Pearson, K. (1895). "Notes on regression and inheritance in the case of two parents." *Proceedings of the Royal Society of London*, 58, 240-242.
- TradingView. "ta.correlation() function." *Pine Script Language Reference Manual*.
- Vidyamurthy, G. (2004). "Pairs Trading: Quantitative Methods and Analysis." *Wiley Finance*. Chapter on correlation analysis.
- Embrechts, P., McNeil, A., & Straumann, D. (2002). "Correlation and dependence in risk management: properties and pitfalls." *Risk Management: Value at Risk and Beyond*, Cambridge University Press.
- Embrechts, P., McNeil, A., & Straumann, D. (2002). "Correlation and dependence in risk management: properties and pitfalls." *Risk Management: Value at Risk and Beyond*, Cambridge University Press.