Correl of daily returns in QSScript?

Correl of daily returns in QSScript?

Kiran
2016-06-14 12:40:16

How do i plot correlation of daily returns of 2 symbols (e.g. SPY, TLT) in Quantscript?
correl function only takes 1 series as parameter and assumes the other one is Close (whereas I want daily return of Close)
- Below is the code i tried and i get an error on last line.

tlt = GetSeries("TLT",close);
drSpy = perf(close,1); //SPY is plotted on chart
drTlt = perf(tlt,1);
drCor1m = correl(drSpy,drTlt,22); // this one doesn't compile, gives error

Pl advise ..

QuantShare
2016-06-14 18:25:07

Your formula works. It does not give any error. Something else is probably given the error. Try just these lines and it should work.

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