You don't need loops to get the rolling correlation between an input series and a linear sequence of values, this can be obtained from the normalized difference between a WMA and an SMA of the input series.
The closed-form solutions for the moving average and standard deviation of a linear sequence can be easily calculated, while the same rolling statistics for the input series can be computed using cumulative sums. All these concepts were introduced in previous indicators posts long ago.
This approach can allow to efficiently compute the rolling R-Squared of a linear regression, as well as its SSE.
Using the rolling correlation as a trend indicator is often attributed to John Ehlers with the correlation trend indicator (Correlation As A Trend Indicator), but the applications of this precise method can be traced back quite a while ago by a wide variety of users, in fact, the LSMA can be computed using this precise indicator. You can see an example where the correlation oscillator appears below:
The closed-form solutions for the moving average and standard deviation of a linear sequence can be easily calculated, while the same rolling statistics for the input series can be computed using cumulative sums. All these concepts were introduced in previous indicators posts long ago.
This approach can allow to efficiently compute the rolling R-Squared of a linear regression, as well as its SSE.
Using the rolling correlation as a trend indicator is often attributed to John Ehlers with the correlation trend indicator (Correlation As A Trend Indicator), but the applications of this precise method can be traced back quite a while ago by a wide variety of users, in fact, the LSMA can be computed using this precise indicator. You can see an example where the correlation oscillator appears below:
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Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
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這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。