Cant seem to multiple VectorD in Functions

Cant seem to multiple VectorD in Functions

Kiran
2016-03-12 09:41:45

I'm modifying the attached AvgCorrelation function to calculate Average Covariance between assets in a group, by simply multiplying the correlation by the standard deviation of the 2 series.

VectorD corel=TA.Correl(ret1,ret2,_period); // Original statement

VectorD corel=TA.Correl(ret1,ret2,_period)*TA.Stddev(ret1,_period)*TA.Stddev(ret2,_period); // My modification

This gives me a NaN when i run it through a screen using 'SPY,TLT', 90days - no error when i run AvgCorrelation.

Please advise what i'm doing wrong.. TA.Stddev is a valid function.

thanks
Kiran

Avgerage Correlation (by Vangelis M., uploaded several months ago)

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QuantShare
2016-03-14 04:06:36

Kiran,

Try using the corresponding QS language formula and debug it from a chart. The formula looks correct. Could be that you provided a wrong "_period".

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