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Moving Correlation Coefficient

The Mcc calculates a correlation coefficient of two data series over the last n periods. This statistical calculation is used to determine if two series of numbers are related. The closer the value is to 1, the closer the data is related.

Calculation

Moving Correlation Coefficient 001

where n – is the period.

Chart Example

Moving Correlation Coefficient 002

Implementation and Usage

To initialize Mcc indicator use one of the following constructors:

Mcc – sets default values: period = 14

Mcc(Int32) – sets value for period

Mcc(TimeSpan) – sets time period

Use

MCC - property to get current value

Example
C#
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 1Calculate the correlation coefficient between simple moving average and price
 2// Create new instance
 3Mcc mcc = new Mcc(28);
 4Sma sma = new Sma(14);
 5
 6// Add new data points
 7sma.Add(CurrentPrice);
 8mcc.Add(CurrentPrice, sma.SMA);
 9
10// Get indicator value
11double IndicatorValue = mcc.MCC;