Cross Correlation [Kioseff Trading]

KioseffTrading Wizard Mis à jour   

This script "Cross Correlation" calculates up to ~10,000 lag-symbol pair cross correlation values simultaneously!

  • Cross correlation calculation for 20 symbols simultaneously
  • +/- Lag Range is theoretically infinite (configurable min/max)
  • Practically, calculate up to 10000 lag-symbol pairs
  • Results can be sorted by greatest absolute difference or greatest sum
  • Ability to "isolate" the symbol on your chart and check for cross correlation against a list of symbols
  • Script defaults to stock pairs when on a stock, Forex pairs when on a Forex pair, crypto when on a crypto coin, futures when on a futures contract.
  • A custom symbol list can be used for cross correlation checking
  • Can check any number of available historical data points for cross correlation

Practical Assessment

Ideally, we can calculate cross correlation to determine if, in a list of assets, any of the assets frequently lead or lag one another.


Say we are comparing the log returns for the previous 10 days for SPY and XLU.

*A single time-interval corresponds to the timeframe of your chart i.e. 1-minute chart = 1-minute time interval. We're using days for this example.

(Example Results)

A lag value (k) +/-3 is used.

The cross correlation (normalized) for k = +3 is -0.787
The cross correlation (normalized) for k = -3 is 0.216

A positive "k" value indicates the correlation when Asset A (SPY) leads Asset B (XLU)

A negative "k" value indicates the correlation when Asset B (XLU) leads Asset A (SPY)

A normalized cross correlation of -0.787 for k = +3 indicates an "adequately strong" negative relationship when SPY leads XLU by 3 days.

When SPY increases or decreases - XLU frequently moves in the opposite direction 3 days later.

A cross correlation value of 0.216 at k = −3 indicates a "weak" positive correlation when XLU leads SPY by 3 days.

There's a slight tendency for SPY to move in the same direction as XLU 3 days later.

After the cross-correlation score is normalized it will fall between -1 and 1.

A cross-correlation score of 1 indicates a perfect directional relationship between asset A and asset B at the corresponding lag (k).

A cross correlation of -1 indicates a perfect inverse relationship between asset A and asset B at the corresponding lag (k).

A cross correlation of 0 indicates no correlation at the corresponding lag (k).

The image above shows the primary usage for the script!

The image above further explains the data points located in the table!

The image above shows the script "isolating" the symbol on my chart and checking the cross correlation between the symbol and a list of symbols!

Wrapping Up

With this information, hopefully you can find some meaningful lead-lag relationships amongst assets!

Thank you for checking this out (:
Notes de version:
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Script open-source

Dans le véritable esprit de TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par le règlement. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.

Clause de non-responsabilité

Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.

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