Covariance

A statistical measure of correlation of the fluctuations of two different quantities. In finance, covariance is applied to the annual rates of return of different investments, to measure the correlation of their year-to-year fluctuations in performance.

Syntax:

Public Function Covariance(ByVal AVIn() As Double, ByVal BVIn() As Double, ByVal Lag As Long) As Double

Parameters:

  • ByVal AVIn() As Double
  • ByVal BVIn() 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 = GetCloseValues()

    ' calculating Technical Analysis function

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

 

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