Correlation Coefficient (CORREL)
A statistical measure that determines the degree to which two securities move in relation to each other.
Visual Example

Synthetic ideal per library logic. Generated 2026-06-25 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).
Description
The Correlation Coefficient (CORREL) indicator is a technical analysis tool that a statistical measure that determines the degree to which two securities move in relation to each other.
This indicator is primarily used for identifying key market conditions. It provides a robust signal that can be easily integrated into both simple strategies and more complex machine learning feature pipelines. Compared to its alternatives, it offers a distinct balance of responsiveness and stability.
Traders often combine this with other metrics to confirm signals and avoid false positives during sideways market regimes. It remains a standard tool for systematic trading models.
Use to measure the strength and direction of the linear relationship between two assets. Values range from -1.0 (inverse correlation) to +1.0 (perfect correlation).
The Pearson Correlation Coefficient measures the strength and direction of a linear relationship between two price series. It is a fundamental tool for pair trading and portfolio diversification, allowing traders to quantify how much of a security's movement is explained by another. — StockCharts ChartSchool
QuantWave implements this indicator via the universal Next<T> trait, guaranteeing bit-identical results between Rust streaming, Python streaming, and Polars batch (.ta() / map_batches) surfaces.
Formula / Specification
Implementation (quantwave-core/src/indicators/statistics.rs):
Gold-standard parity vectors: quantwave-core/tests/gold_standard/correl.json.
Parameters
| Parameter | Default | Description |
|---|---|---|
timeperiod |
30 | Lookback period |
Usage Examples
Streaming (Rust)
use quantwave_core::indicators::CORREL;
use quantwave_core::traits::Next;
let mut ind = CORREL::new(30);
for price in &prices {
let value = ind.next(price);
}
Streaming (Python)
Polars Batch (Python)
import polars as pl
import quantwave as qw
def apply_correlation_coefficient_correl(series: pl.Series) -> pl.Series:
ind = qw.CORREL(30)
return pl.Series([ind.next(float(v)) for v in series.to_list()])
df = (
pl.read_csv('ohlcv.csv')
.lazy()
.with_columns(
pl.col("close").map_batches(apply_correlation_coefficient_correl, return_dtype=pl.Float64).alias("correlation_coefficient_correl")
)
.collect()
)
All surfaces are bit-identical via the single Next<T> implementation and proptests.
Edge Cases & Limitations
- Warm-up: first
30bars may return NaN or partial state per implementation. - Parameter sensitivity: smaller periods increase noise; larger periods increase lag.
- Sudden gaps or bad ticks can distort rolling windows — consider pre-filtering.
- Single-series indicators ignore volume unless otherwise documented.
- Validated via proptests against gold-standard vectors where available.
- No look-ahead bias; streaming and Polars batch paths are bit-identical.
Boundary Behavior
| Condition | Behavior |
|---|---|
| Warm-up | Leading bars return NaN until warmup_bars is satisfied. |
| period > len | When period exceeds series length, output is all NaN. |
| NaN inputs | NaN in input propagates to output (NaN out). |
| Invalid params | Non-positive period or missing required params raise ValueError. |
| Empty data | Empty input returns an empty result series. |
Related Indicators & See Also
Sources & References
Primary Source: https://www.investopedia.com/terms/c/correlationcoefficient.asp
Implementation: quantwave-core/src/indicators/statistics.rs (CORREL / CORREL_METADATA).
Parity: quantwave-core/tests/gold_standard/correl.json
Provenance: Standards bulk upgrade 2026-06-25 IST — see docs/DOCUMENTATION_STANDARDS.md.