correlation analysis?
Author: wbzhang
Creation Date: 10/5/2010 10:34 AM
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wbzhang

#1
Is there any correlation analysis approach with Wealth-lab?
For example:
1) After backtesting, I want to know the correlation between my equity curve and B&H curve.

2) I want to see the correlation of two data series. For instance, stock return data series and some fundamental data series (P/E...). Any convenient way to plot/compute them?
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Eugene

#2
QUOTE:
Is there any correlation analysis approach with Wealth-lab?

Yes. It's probably worth adding to the FAQ.
QUOTE:
1) After backtesting, I want to know the correlation between my equity curve and B&H curve.

This is a task for a performance visualizer.
QUOTE:
2) I want to see the correlation of two data series.

* Pearson Correlation indicator from Community Indicators
* Pearson Correlation function
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wbzhang

#3
QUOTE:
This is a task for a performance visualizer.


Unfortunately I didn't find the correlation value in my current Wealth-lab performance visualizer. So I have to calculate it by myself. My questions are:
1) In strategy code, how to access my wealth curve(cash + equity) bar by bar? I need this curve to compare with a benchmark (.SPX).

2) I understand I can use getExternalSymbol("XXX", true) to get the data of an external symbol. But how about I have several "XXX" symbols in different datasets? Can I specify a certain dataset while using getExternalSymbol()?
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Eugene

#4
1 - Take a look into the Wiki > Knowledge Base, you should find an article there.
2 - Have you opened the QuickRef for GetExternalSymbol?
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wbzhang

#5
QUOTE:
1 - Take a look into the Wiki > Knowledge Base, you should find an article there.

Sorry I looked through that page but didnt find it. Could you show me the pointer?

QUOTE:
2 - Have you opened the QuickRef for GetExternalSymbol?

Ok, now I found there is a parameter for this.
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Eugene

#6
Type "equity curve" in the wiki's "Quick Search" box.