public static Correlation Series(DataSeries x, DataSeries y, int period)
{
string description = string.Concat(new object[] { "Correlation(", x.Description, ",", y.Description, ",", period.ToString(), ")" });
if (x.Cache.ContainsKey(description))
{
return((Correlation)x.Cache[description]);
}
Correlation _Correlation = new Correlation(x, y, period, description);
x.Cache[description] = _Correlation;
return(_Correlation);
}
//private double AVERAGE(int start, DataSeries d, int period)
//{
// return SMA.Series(d, period)[start];
//}
//private double CORREL(int start, DataSeries x, DataSeries y, int period)
//{
// double pearson = 0;
// double covXY = 0;
// if (x.Count < period || y.Count < period)
// {
// // Too little data.
// }
// else
// {
// covXY = WealthLab.Indicators.Sum.Series((x - AVERAGE(start, x, period)) * (y - AVERAGE(start, y, period)), period)[start];
// covXY /= period;
// double stdx = StdDev.Series(x, period, StdDevCalculation.Population)[start];
// double stdy = StdDev.Series(y, period, StdDevCalculation.Population)[start];
// if (stdx * stdy != 0)
// {
// pearson = covXY / (stdx * stdy);
// }
// }
// return pearson;
//}
public CorrelationXL(DataSeries x, DataSeries y, int period, string description)
: base(x, description)
{
//for (int i = period; i < x.Count; i++)
//{
// base[i] = CORREL(i, x, y, period);
//}
Correlation c = Correlation.Series(x, y, period);
for (int bar = period; bar < x.Count; bar++)
{
base[bar] = c[bar];
}
}