Posted By: jbhunter
Correlation of asset pairs - 06/12/20 02:05
Looking for some feedback on this. The script just crashes. Too many series? Is there a better way to do this? Or should this work I am just doing it wrong?
Looking for best correlated pairs.
I would imagine the best answer is use R, matlab, or python. However there must be a way in Zorro.
Looking for best correlated pairs.
I would imagine the best answer is use R, matlab, or python. However there must be a way in Zorro.
Code
#define ASSET_NUM 5 function run() { set(LOGFILE); BarPeriod = 1440; LookBack = 100; StartDate = 2018; EndDate = 2019; assetList("AssetsIB_ETF"); string a1; string a2; int cnt = 0; int i = 0; int j = 0; for(i = 0; i < ASSET_NUM; i++) { a1 = Assets[i]; asset(a1); vars p1 = series(priceClose()); for(j = 0; j < ASSET_NUM; j++) { a2 = Assets[j]; cnt++; asset(a2); vars p2 = series(priceClose()); var corr = Correlation(p1,p2,30); string pair = strcat(strcat(a1,"-"),a2); plot(pair,corr,LINE,BLACK); } } }