A correlation matrix with lag and avanced feature

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phil
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Joined: 09 May 2007

A correlation matrix with lag and avanced feature

Postby phil » 30 Jun 2008

It would be nice if multichart can do a correlation matrix with avanced and lagging feature on symbols. I think you would be the first one that incorporate into the trading. I use it on my trading with excel spreadsheet but I don't have lagging indicator and advanced indicator like in the economist world. I think it's underlook by traders. :D

phil
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Marina Pashkova
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Joined: 27 Jul 2007

Postby Marina Pashkova » 01 Jul 2008

Hi Phil,

Could you please tell us more about this feature?

At this point it's not quite clear what the correlation that you are talking about would do.

Thank you.

phil
Posts: 47
Joined: 09 May 2007

Postby phil » 01 Jul 2008

This the definition of what i'm taking about. The economist that these type of techinique to predict the economy in the future. Like they are taking the correlation of some data and they make a comparasion between all the other index of the economy. In trading or swingtrading and daytrading we want to know wich index or future or stock that lead the other maket. I was thinking of the correlation matrix that you can compare on mult time frame + a leading and lagging or Coincident feature that tell you wich indicator are lagging or leading or coincident with particular stock or index or future. I think it a pretty good feature that other platform don't give you. Plus, I don't know if multichart have this. Take to symbol or maore and make one symbol with it. Esignal has this feature and really like it. Cauz in final you want to built a symbol from the correlation matrix. Most of the economist use eviews software that do alot of these thing but not in realtime and less in future or stock.

An indicator is anything that can be used to predict future financial or economic trends. For example, the social and economic statistics published by accredited sources such as U.S. government departments are indicators. Popular indicators include unemployment rates, housing starts, inflationary indexes and consumer confidence. Official indicators must meet certain set criteria; there are three categories of indicators, classified according to the types of predictions they make.

Leading - These types of indicators signal future events. Think of how the amber traffic light indicates the coming of the red light. In the world of finance, leading indicators work the same way but are less accurate than the street light. Bond yields are thought to be a good leading indicator of the stock market because bond traders anticipate and speculate trends in the economy (even though they aren't always right).

Lagging - A lagging indicator is one that follows an event. Back to our traffic light example: the amber light is a lagging indicator for the green light because amber trails green. The importance of a lagging indicator is its ability to confirm that a pattern is occurring or about to occur. Unemployment is one of the most popular lagging indicators. If the unemployment rate is rising, it indicates that the economy has been doing poorly.

Coincident - These indicators occur at approximately the same time as the conditions they signify. In our traffic light example, the green light would be a coincidental indicator of the associated pedestrian walk signal. Rather than predicting future events, these types of indicators change at the same time as the economy or stock market. Personal income is a coincidental indicator for the economy: high personal income rates will coincide with a strong economy.

mojotrader
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Postby mojotrader » 01 Jul 2008

phil,

Any chance of you sharing that nice correlation matrix?

~mojo

Tresor
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Postby Tresor » 01 Jul 2008

phil,

did you use any data mining software to arrive at these correlations?

Regards

phil
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Postby phil » 01 Jul 2008

No I didn't use data mining to arrive at these sector. I was thinking of this concept from my course at the university in economy course. They are using this to make some prediction for the economy. And I said to me why we cannot use this in daytrading. Sure I will make some research in with sector or indice that have the more powefull impact on the market but for now I'm very please with this. Plus, I was thinking at what a professor said in computer course. The future his in the data base of the compagny that are collecting data from all of us. But the big challage his analyze these data base and make somthing with it. it's all about you analyze the database that will give you a hedge(Google etc. ) Now in are job of daytrader we have the more and more access to some information that can give us a hedge if we analyze it with good eyes.

For the sharing of the spread sheet. Well, it has only 2 day old. A little baby. But I really like it. I t give me a good pictore at wich sector that are has a inverse correlation of other sector. It doesn't mean that after a certain time in the day that other sector are drove the market. But I like to see if the market react good at a trending market and if other sector are keeping a good correlation between the others. My spred sheet work with esignal qliink program. No it's not the most stable on the market but are doing the job pretty good. My spreadsheet are updating in realtime with a choice to change to see the correlation up to 3 days pasr in just a second. It's was a little bit tricky to program but I come to somthing usefull for me.

phil

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Marina Pashkova
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Postby Marina Pashkova » 02 Jul 2008

This the definition of what i'm taking about. The economist that these type of techinique to predict the economy in the future. Like they are taking the correlation of some data and they make a comparasion between all the other index of the economy. In trading or swingtrading and daytrading we want to know wich index or future or stock that lead the other maket. I was thinking of the correlation matrix that you can compare on mult time frame + a leading and lagging or Coincident feature that tell you wich indicator are lagging or leading or coincident with particular stock or index or future. I think it a pretty good feature that other platform don't give you. Plus, I don't know if multichart have this. Take to symbol or maore and make one symbol with it. Esignal has this feature and really like it. Cauz in final you want to built a symbol from the correlation matrix. Most of the economist use eviews software that do alot of these thing but not in realtime and less in future or stock.

An indicator is anything that can be used to predict future financial or economic trends. For example, the social and economic statistics published by accredited sources such as U.S. government departments are indicators. Popular indicators include unemployment rates, housing starts, inflationary indexes and consumer confidence. Official indicators must meet certain set criteria; there are three categories of indicators, classified according to the types of predictions they make.

Leading - These types of indicators signal future events. Think of how the amber traffic light indicates the coming of the red light. In the world of finance, leading indicators work the same way but are less accurate than the street light. Bond yields are thought to be a good leading indicator of the stock market because bond traders anticipate and speculate trends in the economy (even though they aren't always right).

Lagging - A lagging indicator is one that follows an event. Back to our traffic light example: the amber light is a lagging indicator for the green light because amber trails green. The importance of a lagging indicator is its ability to confirm that a pattern is occurring or about to occur. Unemployment is one of the most popular lagging indicators. If the unemployment rate is rising, it indicates that the economy has been doing poorly.

Coincident - These indicators occur at approximately the same time as the conditions they signify. In our traffic light example, the green light would be a coincidental indicator of the associated pedestrian walk signal. Rather than predicting future events, these types of indicators change at the same time as the economy or stock market. Personal income is a coincidental indicator for the economy: high personal income rates will coincide with a strong economy.


Hi phil,

Thank you for you clarifications. We are going to consider the implementation of this feature in future versions of MultiCharts.

Regards.

Tresor
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Postby Tresor » 23 Jul 2008

phil,

Any chance of you sharing that nice correlation matrix?

~mojo


Hi mojotrader,

I found an article on correlation. You may want to look at this: http://bespokeinvest.typepad.com/bespok ... s-cor.html

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Januson
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Postby Januson » 23 Jul 2008

wooohaa - Phil, nice to see a correlation matrice, a really important tool. I appreciate your attention and posting regarding incorporating it into daytrading.
I've used some time studying DataMining and one of my first questions was exactly how to determine correlation between different data series. It seems like that DM doesn't support that, so I decided to dig a bit deeper into it and then I saw your posting :)
Could you please post the Excel or do you keep it secret :lol:

phil
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Joined: 09 May 2007

Postby phil » 23 Jul 2008

Ok I decide to share it. But before you start with my correlation matrix you need Qlin)ks from esignal. Cuz it's feading from esignal quote. Second, it's a correlation matrix that use 1 minute time frame only. Third, you need to make sure that all the 1 minutes data are all there for every practically every minutes. Because if you have some 0 instead of real number, it's scrapping all the correlation. For that I have put a filter on my excel sheet. If you have a 0, it's will take the data that was 1 minute ago. But, somtime the filter aren't too large and my data have some 0 in it. Like if you look at the us dollar quote I choose to take UUP instead of dx a0 because it's costing nothing to have it, the real quote yes. But if you look at this quote you would have some 0 in it and it's scrapping my correlation matrix if I choose more then 2 days of correlation.

And finally you need on the setup page put the Last 5 trading days date very important because it won't work and you have to do this everyday. Plus, on the correlation tab choose the number of last days that you want the correlation.

Final, most of my quote are ishare, stock of indices, indices. If you have access to all the real contract future for gold and the others. It should be better.

phil

I put a lin)k that you can download from rapidshare 11Mb

P.S excuse me for some french work in my spreadsheet:)

Happy trading
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Last edited by phil on 24 Jul 2008, edited 1 time in total.

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Januson
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Postby Januson » 24 Jul 2008

Vraiment délicieux 8)

I've eSignal as provider, thank you. I'll now try to follow your instructions.

phil
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Joined: 09 May 2007

Postby phil » 24 Jul 2008

Merci à tous Thx tous all persons. I run my correlation matrix this morning and I found a serious error in the name of the table. Please redownload the file. I cheack everything and it's working good.

phil

FATSTrader
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Re: A correlation matrix with lag and avanced feature

Postby FATSTrader » 15 Mar 2014

Hi,

Unfortunately the Correlation Matrix Excel file is no longer available at RapidShare.
Would apprecieate anyone with the file to please make it available or any information on
how to build will be great as well.

Thanks!


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