RankCorrelationIndex

StockSharp.Algo.Indicators

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

Constructors

public RankCorrelationIndex()

rankCorrelationIndex = RankCorrelationIndex()

Initializes a new instance of the RankCorrelationIndex.

Measure

public override IndicatorMeasures Measure { get; }

value = rankCorrelationIndex.Measure

IndicatorMeasures.

private static decimal CalculateSpearmanCorrelation(decimal[] ranks1, decimal[] ranks2)

result = RankCorrelationIndex.CalculateSpearmanCorrelation(ranks1, ranks2)

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

GetRanks

private static decimal[] GetRanks(IList<decimal> values)

result = RankCorrelationIndex.GetRanks(values)

Produce rank array with average rank for ties.

OnProcess

protected override IIndicatorValue OnProcess(IIndicatorValue input)

result = rankCorrelationIndex.OnProcess(input)

To handle the input value.

Returns: The resulting value.