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Multi asset correlation
#476332
02/18/19 17:23
02/18/19 17:23
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Joined: Jun 2018
Posts: 16
Paul_der_Zweite
OP
Newbie
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OP
Newbie
Joined: Jun 2018
Posts: 16
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Hi, I want to check a list of assets for correlation. Each asset in the list should be checked with each asset in the list. I don't want to write a time for every possibility, of course, but by while(asset(loop()) Unfortunately I can't get it to work yet  I would like a list, on which the following is shown to me: asset a to asset b: Correlation x asset a to asset c: Correlation x asset a to asset d: Correlation x and so on. I tried the following, which doesn't work yet:
function run()
{
BarPeriod = 240;
LookBack = 300;
StartDate = 2017;
//EndDate = 2019;
while(asset(loop("AUD/CAD","AUD/JPY","AUD/NZD","AUD/USD","CAD/CHF","CAD/JPY","CHF/JPY","Cocoa","Coffee","Copper","Corn","Cotton","Esp35","EuBund","EUR/AUD","EUR/CAD","EUR/CHF","EUR/GBP","EUR/HUF","EUR/JPY","EUR/NOK","EUR/NZD","Euro50","EUR/PLN","EUR/SEK","EUR/SGD","EUR/TRY","EUR/USD","Fra40","Gasol","GBP/AUD","GBP/CAD","GBP/CHF","GBP/JPY","GBP/NZD","GBP/USD","GER30","GerTec","GOLD","Jp225","LCrude","Neth25","NGas","NZD/CAD","NZD/CHF","NZD/JPY","NZD/USD","OJ","SGD/JPY","SILVER","Soybns","Sugar","Swi20","TRY/JPY","UK100","Usa500","UsaInd","UsaRus","UsaTB","UsaTec","UsaVix","USD/BRL","USD/CAD","USD/CHF","USD/CNH","USD/HUF","USD/JPY","USD/MXN","USD/NOK","USD/PLN","USD/RUB","USD/SEK","USD/SGD","USD/TRY","USD/ZAR","Wheat")))
vars price_asset_1 = series(price());
while(asset(loop("AUD/CAD","AUD/JPY","AUD/NZD","AUD/USD","CAD/CHF","CAD/JPY","CHF/JPY","Cocoa","Coffee","Copper","Corn","Cotton","Esp35","EuBund","EUR/AUD","EUR/CAD","EUR/CHF","EUR/GBP","EUR/HUF","EUR/JPY","EUR/NOK","EUR/NZD","Euro50","EUR/PLN","EUR/SEK","EUR/SGD","EUR/TRY","EUR/USD","Fra40","Gasol","GBP/AUD","GBP/CAD","GBP/CHF","GBP/JPY","GBP/NZD","GBP/USD","GER30","GerTec","GOLD","Jp225","LCrude","Neth25","NGas","NZD/CAD","NZD/CHF","NZD/JPY","NZD/USD","OJ","SGD/JPY","SILVER","Soybns","Sugar","Swi20","TRY/JPY","UK100","Usa500","UsaInd","UsaRus","UsaTB","UsaTec","UsaVix","USD/BRL","USD/CAD","USD/CHF","USD/CNH","USD/HUF","USD/JPY","USD/MXN","USD/NOK","USD/PLN","USD/RUB","USD/SEK","USD/SGD","USD/TRY","USD/ZAR","Wheat")))
vars price_asset_2 = series(price());
var corr = Correlation(price_asset_1, price_asset_2, 240);
if(!is(LOOKBACK))
printf("n %f", corr);
}
In my beginner version only ones appear (1.000000). *head scratch* Does anyone have a tip?
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Re: Multi asset correlation
[Re: Paul_der_Zweite]
#476333
02/18/19 20:00
02/18/19 20:00
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Joined: Aug 2018
Posts: 101
OptimusPrime
Member
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Member
Joined: Aug 2018
Posts: 101
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You are lacking brackets to make the sub-loop work. Right now, you are making price_asset_1 equal to price_asset_2. and both contain the price for the last asset you have in the while loop.
Thanks so much,
OptimusPrime
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Re: Multi asset correlation
[Re: OptimusPrime]
#476384
02/21/19 20:27
02/21/19 20:27
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Joined: Jun 2018
Posts: 16
Paul_der_Zweite
OP
Newbie
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OP
Newbie
Joined: Jun 2018
Posts: 16
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Hi OptimusPrime, Thank you very much for your help. This is now the current version of the script:
function run()
{
//BarPeriod = 240;
LookBack = 300;
StartDate = 2018;
//EndDate = 2019;
vars price_asset_1, price_asset_2;
var corr;
while(asset(loop("AUD/CAD","AUD/JPY","AUD/NZD","AUD/USD","CAD/CHF","CAD/JPY","CHF/JPY","Cocoa","Coffee","Copper","Corn","Cotton","Esp35","EuBund","EUR/AUD","EUR/CAD","EUR/CHF","EUR/GBP","EUR/HUF","EUR/JPY","EUR/NOK","EUR/NZD","Euro50","EUR/PLN","EUR/SEK","EUR/SGD","EUR/TRY","EUR/USD","Fra40","Gasol","GBP/AUD","GBP/CAD","GBP/CHF","GBP/JPY","GBP/NZD","GBP/USD","GER30","GerTec","GOLD","Jp225","LCrude","Neth25","NGas","NZD/CAD","NZD/CHF","NZD/JPY","NZD/USD","OJ","SGD/JPY","SILVER","Soybns","Sugar","Swi20","TRY/JPY","UK100","Usa500","UsaInd","UsaRus","UsaTB","UsaTec","UsaVix","USD/BRL","USD/CAD","USD/CHF","USD/CNH","USD/HUF","USD/JPY","USD/MXN","USD/NOK","USD/PLN","USD/RUB","USD/SEK","USD/SGD","USD/TRY","USD/ZAR","Wheat")))
{
price_asset_1 = series(price());
printf("n %s to", Asset);
while(asset(loop("AUD/CAD","AUD/JPY","AUD/NZD","AUD/USD","CAD/CHF","CAD/JPY","CHF/JPY","Cocoa","Coffee","Copper","Corn","Cotton","Esp35","EuBund","EUR/AUD","EUR/CAD","EUR/CHF","EUR/GBP","EUR/HUF","EUR/JPY","EUR/NOK","EUR/NZD","Euro50","EUR/PLN","EUR/SEK","EUR/SGD","EUR/TRY","EUR/USD","Fra40","Gasol","GBP/AUD","GBP/CAD","GBP/CHF","GBP/JPY","GBP/NZD","GBP/USD","GER30","GerTec","GOLD","Jp225","LCrude","Neth25","NGas","NZD/CAD","NZD/CHF","NZD/JPY","NZD/USD","OJ","SGD/JPY","SILVER","Soybns","Sugar","Swi20","TRY/JPY","UK100","Usa500","UsaInd","UsaRus","UsaTB","UsaTec","UsaVix","USD/BRL","USD/CAD","USD/CHF","USD/CNH","USD/HUF","USD/JPY","USD/MXN","USD/NOK","USD/PLN","USD/RUB","USD/SEK","USD/SGD","USD/TRY","USD/ZAR","Wheat")))
{
price_asset_2 = series(price());
corr = Correlation(price_asset_1, price_asset_2, 240);
if(!is(LOOKBACK))
printf("n %s = %f", Asset, corr);
}
}
}
It contains 2 nested while loops but unfortunately hangs. And I don't understand the explanatory text output of the script yet. I would like to output something like "Asset_1 to Asset_2 = Correlation X" "Asset_1 to Asset_3 = Correlation X" and so on. Any hint?
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