OPEN-SOURCE SCRIPT

Pearson vs Approx. Spearman Correlation

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This indicator displays the rolling Pearson and approximate Spearman correlation between the chart's asset and a second user-defined asset, based on log returns over a customizable window.

Features:

- Pearson correlation of log returns (standard linear dependency measure)

- Approximate Spearman correlation, using percentile ranks to better capture nonlinear and monotonic relationships

/ Horizontal lines showing:

Maximum and minimum correlation values over a statistical window

1st quartile (25%) and 3rd quartile (75%) — helpful for identifying statistically high or low regimes

This script is useful for identifying dynamic co-movements, regime changes, or correlation breakdowns between assets — applicable in risk management, portfolio construction, and pairs trading strategies.

Feragatname

Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, işlem veya diğer türden tavsiye veya tavsiyeler anlamına gelmez ve teşkil etmez. Kullanım Şartları'nda daha fazlasını okuyun.