Click here to Login








Average Cross-Correlations

by Vangelis M., 4326 days ago
Share |






Example: a=AvgCorrelation("SPY,TLT,EEM",100) ;

This function computes the average cross- correlations of the assets in the list. It sums up the correlations of all possible pairs and divides by the number of pairs.
It can help to visualize how correlated more than 2 assets are. Or it can be used in a system to check the correlation of a stock to be bought against the average correlations of existing open positions.
An example of the internal calculation is:

AvgCorrelation("SPY,TLT,EEM",100) =
( Correlation of SPY-TLT +Correlation of SPY-EEM+ Correlation of TLT-EEM )/3.

Note: Don't use an excessive number of assets as the calculation grows exponentially every time you add one.


Share This ->
Share |


You have to log in to bookmark this object
What is this?
Additional Information




Type: Trading Indicator

Object ID: 1245


Country:
All

Market: All

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

How to Send Commands to QuantShare from Excel or Other Applications

How to make sure your Historical Price Data is Split Adjusted

How to Select the Best Market Indicator for your Trading System

4 Market Composite Indicators Based on Industry Data

Industry Analysis - How to Compare Stocks with their Industries

How to Backtest Each Stock or Asset Individually

QuantShare Programming Language Tutorial

Sentiment Analysis: How to measure the sentiment score of your stock tweets

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright © 2024 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.