#include <profile.c>

var Corr(var* Close)
{
	var AvgLength = 0;
	var M;
	var X;
	var Y;
	var Lag;
	var count;
	var Sx;
	var Sy;
	var Sxx;
	var Syy;
	var Sxy;

	var Corr[48];

	var* HP = series(HighPass2(Close, 48), 50);
	var* Filt = series(Smooth(HP, 10), 50);

	//Pearson correlation for each value of lag
	for (Lag = 0; Lag < 48; Lag++) {		
		//Set the averaging length as M
		M = AvgLength;
		if (AvgLength == 0) M = Lag;
		Sx = 0;
		Sy = 0;
		Sxx = 0;
		Syy = 0;
		Sxy = 0;
		
		for (count = 0; count < M; count++) {
			X = Filt[count];
			Y = Filt[Lag + count];
			Sx = Sx + X;
			Sy = Sy + Y;
			Sxx = Sxx + X*X;
			Sxy = Sxy + X*Y;
			Syy = Syy + Y*Y;
		}
		
		if ( (M*Sxx - Sx*Sx)*(M*Syy - Sy*Sy) > 0 ) {
			Corr[Lag] = (M*Sxy - Sx*Sy)/sqrt((M*Sxx-Sx*Sx)*(M*Syy-Sy*Sy));
		}

	}
	return Corr[3];
}
function run()
{
	set(NFA|PLOTNOW);
	StartDate = 20210903;
	EndDate = 20210903;
	Outlier = 0;
	BarPeriod = 1;
	LookBack = 100;
	BarMode = BR_FLAT;

	Verbose = 2;
	
	var* Close = series(priceClose());

	var* x = series(Corr(Close));
	
	var* HP = series(HighPass2(Close, 48), 50);
	var* Filt = series(Smooth(HP, 10), 50);
	
	var y = Correlation(Filt, Filt+3, 3);

	plot("x", x, NEW, RED);
	plot("y", y, END, BLUE);
}