Correlation between indicators

Correlation between indicators

Kiran
2016-06-25 19:18:13

Is there an easy way (perhaps using Pivot Table?) to generate correlation between different indicator values - e.g.
rsi(a) where a=5, 25, 45 etc
sma(b) where b = 5, 20,60 etc.
macd(c) where ...

the indicators are evaluated on 1 symbol (say SPY) and correlation period is say 60 days ..

thx
Kiran

QuantShare
2016-06-26 18:30:53

Hi Kiran,

You may want to check this:
http://www.quantshare.com/how-254-how-to-create-a-correlation-matrix-of-several-securities

Just replace the "close" with any indicator.

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