Pearson's Correlation Coefficient (r)

CORREL calculates the correlation between two sets of data.

Method

tm.ta.correl(source_high, source_low, timeperiod)

Inputs

Parameter	Argument type	Description	Default Value
source_high	pd.Series	High prices series	-
source_low	pd.Series	Low prices series	-
timeperiod	int	Number of periods for the indicator	30

Outputs

Output	Type
correl	np.ndarray

Example usage

strategy.py

import tradomate as tm

@tm.strategy()
def my_strategy(config: tm.TradomateConfig, data: tm.TradomateData):

    # Trying out Pearson's Correlation Coefficient (r)
    correl = tm.ta.correl(data.high, data.low, timeperiod=30)

    # Get the last value and print
    last_value = correl.iloc[-1]
    tm.log(f"Last value of Pearson's Correlation Coefficient (r) is {last_value}")

    # Plot the values of correl
    tm.plot(correl, title="Pearson's Correlation Coefficient (r)", overlay=False)