mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
62 lines
2.4 KiB
Plaintext
62 lines
2.4 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Kendall Rank Correlation (KENDALL)", "KENDALL", overlay=false, precision=4)
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//@function Calculates Kendall's Tau-a rank correlation coefficient.
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//@param source1 series float The first input series.
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//@param source2 series float The second input series.
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//@param length int The lookback period. Min 2, Max 60.
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//@returns series float Kendall's Tau-a coefficient, ranging from -1 to +1.
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kendall(series float source1, series float source2, simple int length) =>
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if length < 2
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float(na)
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else
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float[] src1_window = array.new_float(length)
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float[] src2_window = array.new_float(length)
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bool window_has_na = false
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for k = 0 to length - 1
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val1_k = source1[length - 1 - k]
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val2_k = source2[length - 1 - k]
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if na(val1_k) or na(val2_k)
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window_has_na := true
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break
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array.set(src1_window, k, val1_k)
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array.set(src2_window, k, val2_k)
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if window_has_na
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float(na)
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else
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concordant_pairs = 0
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discordant_pairs = 0
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for i = 0 to length - 2
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for j = i + 1 to length - 1
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val1_i = array.get(src1_window, i)
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val2_i = array.get(src2_window, i)
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val1_j = array.get(src1_window, j)
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val2_j = array.get(src2_window, j)
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diff_val1 = val1_i - val1_j
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diff_val2 = val2_i - val2_j
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product_of_signs = diff_val1 * diff_val2
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if product_of_signs > 0
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concordant_pairs += 1
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else if product_of_signs < 0
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discordant_pairs += 1
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denominator = length * (length - 1) / 2.0
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if denominator == 0.0
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float(na)
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else
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(concordant_pairs - discordant_pairs) / denominator
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// Inputs
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i_source1 = input.source(close, "Source 1")
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i_source2_ticker = input.symbol("SPY", "Source 2 Ticker (e.g., SPY, AAPL)")
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i_period = input.int(20, "Period", minval=2)
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i_source2 = request.security(i_source2_ticker, timeframe.period, close, lookahead=barmerge.lookahead_off)
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// Calculation
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kendall_value = kendall(i_source1, i_source2, i_period)
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// Plot
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plot(kendall_value, "Kendall's Tau", color=color.yellow, linewidth=2)
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