Correlation Coefficient

The correlation coefficient a concept from statistics is a measure of how well trends in the predicted values follow trends in the actual values in the past.  It is a measure of how well the predicted values from a forecast model "fit" with the real-life data.

The correlation coefficient is a number between 0 and 1.  If there is no relationship between the predicted values and the actual values the correlation coefficient is 0 or very low (the predicted values are no better than random numbers).  As the strength of the relationship between the predicted values and actual values increases so does the correlation coefficient.  A perfect fit gives a coefficient of 1.0.  Thus the higher the correlation coefficient the better.

Syntax:

Public Function CorrelationCoefficient(ByVal ACIn() As Double, ByVal BCIn() As Double, ByVal Lag As Long) As Double

Parameters:

  • ByVal ACIn() As Double
  • ByVal BCIn() As Double
  • ByVal Lag As Long

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Example:

 

    Dim TA4Net As New TA4Net.CTAFunctions("YOUR-REGISTRATION-CODE")

    Dim Result() As Double

    Dim CloseValues() As Double

    Dim OpenValues(,) As Double

 

    ' loading values to arrays

    CloseValues = GetCloseValues()

    OpenValues = GetOpenValues()

    ' calculating Technical Analysis function

    Result = TA4Net.CorrelationCoefficient(OpenValues, CloseValues, 14)

 

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