Cross-Correlation Lead/Lag Analyzer

Cross-Correlation Lead/Lag Analyzer (XCorr)

Discover which instrument moves first with advanced cross-correlation analysis.

This indicator analyzes the lead/lag relationship between any two financial instruments using rolling cross-correlation at multiple time offsets. Perfect for pairs trading, market timing, and understanding inter-market relationships.

Key Features:

• Universal compatibility - Works with any two symbols (stocks, futures, forex, crypto, commodities)
  
• Multi-timeframe analysis - Automatically adjusts lag periods based on your chart timeframe
  
• Real-time correlation table - Shows current correlation values for all lag scenarios
  
• Visual lead/lag detection - Color-coded plots make it easy to spot which instrument leads
  
• Smart "Best" indicator - Automatically identifies the strongest relationship
  

How to Use:

1. Set your symbols in the indicator settings (default: NQ1! vs RTY1!)
   
2. Adjust correlation length (default: 20 periods for smooth but responsive analysis)
   
3. Watch the colored lines:
   • Red/Orange: Symbol 2 leads Symbol 1 by 1-2 periods
   • Blue: Instruments move simultaneously
   • Green/Purple: Symbol 1 leads Symbol 2 by 1-2 periods
   
4. Check the table for exact correlation values and the "Best" relationship
   

Interpreting Results:

• Correlation > 0.7: Strong positive relationship
  
• Correlation 0.3-0.7: Moderate relationship
  
• Correlation < 0.3: Weak/no relationship
  
• Highest line indicates the optimal timing relationship
  

Popular Use Cases:

• Index Futures: NQ vs ES, RTY vs IWM
  
• Sector Rotation: XLF vs XLK, QQQ vs SPY
  
• Commodities: GC vs SI, CL vs NG
  
• Currency Pairs: EURUSD vs GBPUSD
  
• Crypto: BTC vs ETH correlation analysis
  

Technical Notes:
Cross-correlation measures linear relationships between two time series at different time lags. This implementation uses Pearson correlation with adjustable periods, calculating correlations from -2 to +2 period offsets to detect leading/lagging behavior.

Perfect for quantitative analysts, pairs traders, and anyone studying inter-market relationships.