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Correlation Table for Amibroker (AFL)

Rating:
4 / 5 (Votes 7)
Tags:
amibroker, exploration

Using the analysis feature in Amibroker, one can compare degree of correlations between and across securities found in a filtered watch list. This Amibroker code was prepared by the Quanting Dutchman last year.

Just edit the CorrPd line in the formula and specify the period of correlation you’re trying to analyse.

Screenshots

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Indicator / Formula

Copy & Paste Friendly
// eCorrelationTable.afl
WLNum = Param("WatchlistNr",0,0,255,1);
CorrPd = 21;
list = GetCategorySymbols( categoryWatchlist, WLNum);
SetOption("NoDefaultColumns",True);

Filter = DateNum()==Status("rangetodate");
//SetSortColumns( 2 );
AddTextColumn(Name(),"Corr("+NumToStr(Corrpd,1.0)+")",1.0,width=70);
Ticker1= Name();

for( Col=0; (Ticker2=StrExtract( List, Col))!= ""; Col++)
{
 Var2 = Foreign(Ticker2,"C");
 Corr = Correlation( C/Ref(C,-1), Var2/Ref(Var2,-1), CorrPd);
 Color = IIf(Corr>0.5, colorLime, IIf(Corr>0,colorBrightGreen,IIf(Corr<-0.5, colorRed,IIf(Corr<0,colorOrange,colorWhite))));
 Color = IIf(Ticker1==Ticker2, 1, color);
 AddColumn( Corr, Ticker2, 1.3, 1, Color,width=60);
}

2 comments

1. arm

DID NOT WORK

2. 13oct08

What type of co-relations we are talking about, metal stocks to companies using those metals? and automobile companies? Something like that?

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