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ES1! vs ZB1! Exponentially Weighted Correlation

ES1! vs ZB1! Exponentially Weighted Correlation
This indicator calculates and visualizes the exponentially weighted correlation between the S&P 500 E-mini futures (ES1!) and the 30-Year U.S. Treasury Bond futures (ZB1!) over a user-defined lookback period. By using an exponential moving average (EMA) approach, it emphasizes recent price movements, providing a dynamic view of the relationship between these two key financial instruments.
Features:
- Customizable Inputs: Adjust the lookback length (default: 60) and alpha (default: 0.1) to fine-tune the sensitivity of the correlation calculation.
- Exponentially Weighted Correlation: Measures the strength and direction of the relationship between ES1! and ZB1! prices, with more weight given to recent data.
- Visual Clarity: Displays correlation as colored bars (green for positive, red for negative) for quick interpretation, with reference lines at 0, +1, and -1 for context.
- Non-Overlay Design: Plotted in a separate panel below the chart to avoid cluttering price data.
How It Works:
The indicator fetches closing prices for ES1! and ZB1!, applies an EMA to smooth the data, and computes the exponentially weighted covariance and variances. The correlation is then derived and plotted as a histogram, helping traders identify whether the two markets are moving together (positive correlation), in opposite directions (negative correlation), or independently.
Use Cases:
- Market Analysis: Gauge the relationship between equity and bond markets to inform trading strategies.
- Risk Management: Monitor correlation shifts to adjust portfolio exposure.
- Intermarket Insights: Identify trends or divergences in the stock-bond dynamic for macroeconomic analysis.
Ideal for traders and analysts tracking intermarket relationships, this indicator offers a clear, responsive tool for understanding ES1! and ZB1! correlation in real-time.
This indicator calculates and visualizes the exponentially weighted correlation between the S&P 500 E-mini futures (ES1!) and the 30-Year U.S. Treasury Bond futures (ZB1!) over a user-defined lookback period. By using an exponential moving average (EMA) approach, it emphasizes recent price movements, providing a dynamic view of the relationship between these two key financial instruments.
Features:
- Customizable Inputs: Adjust the lookback length (default: 60) and alpha (default: 0.1) to fine-tune the sensitivity of the correlation calculation.
- Exponentially Weighted Correlation: Measures the strength and direction of the relationship between ES1! and ZB1! prices, with more weight given to recent data.
- Visual Clarity: Displays correlation as colored bars (green for positive, red for negative) for quick interpretation, with reference lines at 0, +1, and -1 for context.
- Non-Overlay Design: Plotted in a separate panel below the chart to avoid cluttering price data.
How It Works:
The indicator fetches closing prices for ES1! and ZB1!, applies an EMA to smooth the data, and computes the exponentially weighted covariance and variances. The correlation is then derived and plotted as a histogram, helping traders identify whether the two markets are moving together (positive correlation), in opposite directions (negative correlation), or independently.
Use Cases:
- Market Analysis: Gauge the relationship between equity and bond markets to inform trading strategies.
- Risk Management: Monitor correlation shifts to adjust portfolio exposure.
- Intermarket Insights: Identify trends or divergences in the stock-bond dynamic for macroeconomic analysis.
Ideal for traders and analysts tracking intermarket relationships, this indicator offers a clear, responsive tool for understanding ES1! and ZB1! correlation in real-time.
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這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。
開源腳本
本著TradingView的真正精神,此腳本的創建者將其開源,以便交易者可以查看和驗證其功能。向作者致敬!雖然您可以免費使用它,但請記住,重新發佈程式碼必須遵守我們的網站規則。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。