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Posted 3/6/2008 07:01:01 Post #4777
billb
 

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Calculates Correlations of each two-symbol combination in a WatchList.
Generates a CSV File (C:\temp\cTable.csv) with the complete Correlation Matrix and a CSV file (C:\temp\cList.csv) with a sorted list of correlation coefficients.
The CSV files are ready to read with EXCEL.

Correlation is calculated from the bar-to-bar percentage change (Close-Close) of each instrument.

Note: This "Trading System" contains a Shutdown() procedure only.

The system can be downloaded by clicking here
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