CORREL
Summary
Pearson's correlation coefficient ® between two input series over a rolling window of optInTimePeriod bars. Measures how linearly the two series move together. r near +1: strong positive co-movement; near -1: strong inverse; near 0: no linear relationship.
Formula
r = (sumXY - sumX*sumY/n) / sqrt((sumX2 - sumX^2/n) * (sumY2 - sumY^2/n)), n = optInTimePeriod, sums over the window
Notes
- When the correlation is undefined for a window (for example a constant series), the output is 0 rather than an error or NaN.
Inputs
inReal0— First data series (X)inReal1— Second data series (Y)
Outputs
outReal— Correlation coefficient r in [-1, 1]
Parameters
optInTimePeriod— Rolling window length
Implementation
TA-Lib Definition: correl.c · correl.yaml
| Native | File |
|---|---|
| C | ta_CORREL.c |
| Rust | correl.rs |
| Java | Core.java |
TA-Lib is also available for Python, R and more using a wrapper.
Aliases
Pearson Correlation, Correlation Coefficient, r
See Also
References
- Karl Pearson