fotchstecker
304 posts
msg #155904
- Ignore fotchstecker
modified |
2/21/2021 11:30:57 AM
Here's a simple correlation filter for constructing a basket of symbols with varying correlations to SPY (or any symbol) over various periods. Just uncomment/comment-out the correlation range you want to use for a strongly, neutrally, or inversely correlated symbol. Adjust the correlation values as needed, too.
Improvements are welcomed, and any other methods you might have for constructing baskets based on correlation would be welcomed, too. Enjoy.
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novacane32000
331 posts
msg #155918
- Ignore novacane32000 |
2/22/2021 8:43:03 AM
Very nice ! Thank you
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glgene
616 posts
msg #155922
- Ignore glgene |
2/22/2021 5:31:15 PM
I agree —- Very Nice!
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graftonian
1,089 posts
msg #155924
- Ignore graftonian |
2/22/2021 6:06:05 PM
A handy tool, I'll add it to my basket of tricks.
Graf
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snappyfrog
731 posts
msg #155935
- Ignore snappyfrog |
2/23/2021 4:59:48 PM
Nice, thanks.
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nibor100
1,044 posts
msg #155937
- Ignore nibor100 |
2/24/2021 11:33:10 AM
A couple of additional filter lines, that may be of interest to some, for adding different graphic comparisons to spy.
compare with spy
add column relative strength(spy,30) > -1
Ed S.
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fotchstecker
304 posts
msg #155960
- Ignore fotchstecker |
2/25/2021 9:13:13 PM
Ed, thanks. A simple improvement -- my favorite kind! Thanks.
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