OPEN-SOURCE SCRIPT
Correlation Convergance Divergance (CCD)
Hello Traders !
[/bIntro :
Correlation Convergance Divergance (CCD) is a statistic based trend analysis indictor that uses long run and short run correlation averages to determine the stregth of two assets linear association, and bounded average percent change to determine the underpromering reltaive assets.
Rational & "Motivating Idea" :
The motivating idea is that "if two assets are in general historicaly posativley correlated (Their OHLC prices tend to move in one direction) if their correlation deviates this is a high probabality mean reverting buy opportunity for the unederproferming asset" - which is determined buy a divergance of thier standardiesed delta (Percent chnage). i.e. the reltive assets average percent change(red columns) is decreasing relative to the reffernace markets avearge percent change (green columns). note the green and red columns act just like RSI.
Divergances :
These are highlighted buy the yellow columns, As explianed above these are theoreticaly good buy opportunities.
Key Options & Inputs :
* Market Timeframe reselution :
The timeframe of which price data e.g closing prices is sourced for both markets. THIS MUST BE CHANGED TO THE CURRENT TIMFRAME RESULTION.*
* Reffrerance & Relative symbol percenet avergae lookback :
For both sr (short run) correlation averages and Reffrerance & Relative symbol percenet avergaes to start at the same bar this must equal lookback cov lookback + correlation avg lookback
Hope You Enjoy !
[/bIntro :
Correlation Convergance Divergance (CCD) is a statistic based trend analysis indictor that uses long run and short run correlation averages to determine the stregth of two assets linear association, and bounded average percent change to determine the underpromering reltaive assets.
Rational & "Motivating Idea" :
The motivating idea is that "if two assets are in general historicaly posativley correlated (Their OHLC prices tend to move in one direction) if their correlation deviates this is a high probabality mean reverting buy opportunity for the unederproferming asset" - which is determined buy a divergance of thier standardiesed delta (Percent chnage). i.e. the reltive assets average percent change(red columns) is decreasing relative to the reffernace markets avearge percent change (green columns). note the green and red columns act just like RSI.
Divergances :
These are highlighted buy the yellow columns, As explianed above these are theoreticaly good buy opportunities.
Key Options & Inputs :
* Market Timeframe reselution :
The timeframe of which price data e.g closing prices is sourced for both markets. THIS MUST BE CHANGED TO THE CURRENT TIMFRAME RESULTION.*
* Reffrerance & Relative symbol percenet avergae lookback :
For both sr (short run) correlation averages and Reffrerance & Relative symbol percenet avergaes to start at the same bar this must equal lookback cov lookback + correlation avg lookback
Hope You Enjoy !
Script de código abierto
Siguiendo fielmente el espíritu de TradingView, el autor de este script lo ha publicado en código abierto, permitiendo que otros traders puedan entenderlo y verificarlo. ¡Olé por el autor! Puede utilizarlo de forma gratuita, pero tenga en cuenta que la reutilización de este código en la publicación se rige por las Normas internas. Puede añadir este script a sus favoritos y usarlo en un gráfico.
¿Quiere utilizar este script en un gráfico?
Exención de responsabilidad
La información y las publicaciones que ofrecemos, no implican ni constituyen un asesoramiento financiero, ni de inversión, trading o cualquier otro tipo de consejo o recomendación emitida o respaldada por TradingView. Puede obtener información adicional en las Condiciones de uso.