Boris Lund Regular  Posts: 59 Joined: 12/9/2021  User Profile | An attempt of weighing the price movement of the spy by the total correlation of the underlying symbols. The idea being that the more correlated the underlying signals are, the more significant a directional move is. It became clear that using weights was the same as just using the top 10 symbols. So no need to read all 100 into the loop. 100 symbols on 100 bars is too much on RT. But room to play around with different setups. The plot shows price difference from yesterday so green>0 shows an upward price move. Weighted by the total correlation.  Attached file : Correlated Weighted Direction.txt (4KB - 260 downloads) Attached file : CorrelatedWeightedDirectionPlot.png (59KB - 267 downloads) |
