The thinkorswim Correlation Statistical Distribution Indicator shows users the historical correlation between assets. The indicator uses the Pearson coefficient, or R, and is a measure of linear correlation between two sets of data. It is the ratio between the covariance of two variables and the product of their standard deviations. It is a normalized measure of the covariance. The result always has a value between −1 and 1.
- The thinkorswim Correlation Statistical Distribution Indicator allows users to select which two (2) tickers to correlate;
- Select the rolling period of the correlation;
- Watch the study plot out the historical distribution of the period shown.
This indicator natively plots any distribution of any two ticker R correlation coefficient over any user specified period. The indicators shows where the current correlation R value resides amongst the distribution function.
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