Pearson Correlation Coefficient calculation MQL4
Pearson Correlation Coefficient calculation MQL4
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Qan N · External communityPost link
External question — Stack Overflow Stack Exchange
Author: Qan N
Original post: https://stackoverflow.com/questions/73565317
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
Hi i am trying to calculate the Pearson Correlation Coefficient across nbars.
I am trying to do so with the for loop function. x
2
y
2
total is collected by the for loop but the MathPow(f,2) function doesn't work. Secondly, i don't know how to calculate the xy calculation for each bar to find a total of xy calculation. ideas? I would also like to know if there is a better way to calculate Pearson Correlation Coefficient (r).
//time
double y1=0.0;
int counttime=2000;
for(int c=counttime-1; c>=0; c--) y1+=Time[c];
double Meantime = totaltime/counttime;
double y2=0.0;
int counttime2=2000;
for(int f=counttime2-1; f>=0; f--) y2+=Time[MathPow(f,2)];
double Meantime2 = totaltime2/counttime2;
// Price
double x1=0.0;
int count1=2000;
for(int g=count1-1; g>=0; g--) x1+=High[g];
double x2=0.0;
int countprice=2000;
for(int e=countprice-1; e>=0; e--) x2+=High[MathPow(e,2)];
double x22 = MathPow(x1,2);
double y22 = MathPow(y1,2);
double r = (count1*(x1*y1)-(x1*y1))/sqrt(count1*(x2-x22)*(count1*(y2-y22));
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PaulB · External communityPost link
External answer — Stack Overflow Stack Exchange
Author: PaulB
Original post: https://stackoverflow.com/a/73568247
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
Your actual formula interpretation appears incorrect: Try this:
int count=2000;
double time=0.0, high=0.0;
for(int i=count-1; i>=0; i--) {time+=double(Time[i]); high+=High[i];}
double timeAVG=time/count; double highAVG=high/count;
double timeDiff=0.0, highDiff=0.0, ProductDiff=0.0;
for(int i=count-1; i>=0; i--) {timeDiff+=MathPow(double(Time[i])-timeAVG,2); highDiff+=MathPow(High[i]-highAVG,2); ProductDiff+=(double(Time[i])-timeAVG)*(High[i]-highAVG);}
Print("Correlation = ", DoubleToString(ProductDiff/(MathSqrt(timeDiff)*MathSqrt(highDiff)),8));
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Quoted from Forex.com.bd-Editorial External question — Stack Overflow Stack Exchange Author: Qan N Source score (net votes, not local likes): 0 Original post: https://stackoverflow.com/questions/73565317 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Hi i am trying to calculate the Pearson Correlation Coefficient across nbars. I am trying to do so with the for loop function. x 2 y 2 total is collected by the for loop but the MathPow(f,2) function doesn't work. Secondly, i don't know how to calculate the xy calculation for each bar to find a total of xy calculation. ideas? I would also like to know if there is a better way to calculate Pearson Correlation Coefficient (r). //time double y1=0.0; int counttime=2000; for(int c=counttime-1; c>=0; c--) y1+=Time[c]; double Meantime = totaltime/counttime; double y2=0.0; int counttime2=2000; for(int f=counttime2-1; f>=0; f--) y2+=Time[MathPow(f,2)]; double Meantime2 = totaltime2/counttime2; // Price double x1=0.0; int count1=2000; for(int g=count1-1; g>=0; g--) x1+=High[g]; double x2=0.0; int countprice=2000; for(int e=countprice-1; e>=0; e--) x2+=High[MathPow(e,2)]; double x22 = MathPow(x1,2); double y22 = MathPow(y1,2); double r = (count1*(x1*y1)-(x1*y1))/sqrt(count1*(x2-x22)*(count1*(y2-y22));
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