RankCorrelationIndex

StockSharp.Algo.Indicators

Rank Correlation Index (Spearman's Rank Correlation Coefficient). Compares price movement ranking vs time ranking inside the window.

Constructors

RankCorrelationIndex()

Initializes a new instance of the RankCorrelationIndex.

Measure : IndicatorMeasures

IndicatorMeasures.

CalculateSpearmanCorrelation(decimal[], decimal[]) : decimal

Pearson correlation between two rank arrays (works with ties).

GetRanks(IList<decimal>) : decimal[]

Produce rank array with average rank for ties.

OnProcess(IIndicatorValue) : IIndicatorValue

To handle the input value.

Returns: The resulting value.