mcorr

mcorr(X, Y, window, [minPeriods])

Please see mFunctions for the parameters and windowing logic.

Calculate the correlation of X and Y in a sliding window.

x=1..8
y=9 5 3 4 5 4 7 1
mcorr(x,y,5);
// output
[,,,,-0.624038,0,0.834058,-0.29173]

mcorr(x,y,5,3);
// output
[,,-0.981981,-0.834497,-0.624038,0,0.834058,-0.29173]

x1 = indexedSeries(date(2020.06.05)+1..8, x)
y1 = indexedSeries(date(2020.06.05)+1..6 join 2020.06.15 join 2020.06.16, y)
mcorr(x1,y1,5d)

mcorr(x1,y1,1w)

Related functions: corr, mmin, mmax, mavg, msum, mstd, mvar