#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);
}
}
}