// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Kendall Rank Correlation (KENDALL)", "KENDALL", overlay=false, precision=4)

//@function Calculates Kendall's Tau-a rank correlation coefficient.
//@param source1 series float The first input series.
//@param source2 series float The second input series.
//@param length int The lookback period. Min 2, Max 60.
//@returns series float Kendall's Tau-a coefficient, ranging from -1 to +1.
kendall(series float source1, series float source2, simple int length) =>
    if length < 2
        float(na)
    else
        float[] src1_window = array.new_float(length)
        float[] src2_window = array.new_float(length)
        bool window_has_na = false
        for k = 0 to length - 1
            val1_k = source1[length - 1 - k]
            val2_k = source2[length - 1 - k]
            if na(val1_k) or na(val2_k)
                window_has_na := true
                break
            array.set(src1_window, k, val1_k)
            array.set(src2_window, k, val2_k)
        if window_has_na
            float(na)
        else
            concordant_pairs = 0
            discordant_pairs = 0
            for i = 0 to length - 2
                for j = i + 1 to length - 1
                    val1_i = array.get(src1_window, i)
                    val2_i = array.get(src2_window, i)
                    val1_j = array.get(src1_window, j)
                    val2_j = array.get(src2_window, j)
                    diff_val1 = val1_i - val1_j
                    diff_val2 = val2_i - val2_j
                    product_of_signs = diff_val1 * diff_val2
                    if product_of_signs > 0
                        concordant_pairs += 1
                    else if product_of_signs < 0
                        discordant_pairs += 1
            denominator = length * (length - 1) / 2.0
            if denominator == 0.0
                float(na)
            else
                (concordant_pairs - discordant_pairs) / denominator

// Inputs
i_source1 = input.source(close, "Source 1")
i_source2_ticker = input.symbol("SPY", "Source 2 Ticker (e.g., SPY, AAPL)")
i_period = input.int(20, "Period", minval=2)

i_source2 = request.security(i_source2_ticker, timeframe.period, close, lookahead=barmerge.lookahead_off)

// Calculation
kendall_value = kendall(i_source1, i_source2, i_period)

// Plot
plot(kendall_value, "Kendall's Tau", color=color.yellow, linewidth=2)