Calculate boundries within which $r$ remains above a critical value given correlation coefficient $(x,f(x)) =...
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I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Edit: Ok no more edits. Sorry for all the mess I hope you get what I'm looking for.
correlation
asked 2 days ago
Pedro S.
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I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Edit: Ok no more edits. Sorry for all the mess I hope you get what I'm looking for.
correlation
asked 2 days ago
Pedro S.
11
New contributor
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
2 days ago
Just added an example. Thanks.
– Pedro S.
2 days ago
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
2 days ago
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
2 days ago
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Edit: Ok no more edits. Sorry for all the mess I hope you get what I'm looking for.
correlation
asked 2 days ago
Pedro S.
11
New contributor
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Edit: Ok no more edits. Sorry for all the mess I hope you get what I'm looking for.
correlation
correlation
asked 2 days ago
Pedro S.
11
New contributor
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 2 days ago
Pedro S.
11
New contributor
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
edited 2 days ago
asked 2 days ago
Pedro S.
11
New contributor
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 2 days ago
Pedro S.
11
asked 2 days ago
Pedro S.
11
11
New contributor
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Pedro S. is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
2 days ago
Just added an example. Thanks.
– Pedro S.
2 days ago
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
2 days ago
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
2 days ago
add a comment |
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
2 days ago
Just added an example. Thanks.
– Pedro S.
2 days ago
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
2 days ago
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
2 days ago
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
2 days ago
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
2 days ago
Just added an example. Thanks.
– Pedro S.
2 days ago
Just added an example. Thanks.
– Pedro S.
2 days ago
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
2 days ago
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
2 days ago
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
2 days ago
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
2 days ago
add a comment |
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Pedro S. is a new contributor. Be nice, and check out our Code of Conduct.
Pedro S. is a new contributor. Be nice, and check out our Code of Conduct.
Pedro S. is a new contributor. Be nice, and check out our Code of Conduct.
Pedro S. is a new contributor. Be nice, and check out our Code of Conduct.
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I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
2 days ago
Just added an example. Thanks.
– Pedro S.
2 days ago
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
2 days ago
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
2 days ago