Correlation Coefficient (CORREL)
A statistical measure that determines the degree to which two securities move in relation to each other.
Usage
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).
Background
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
Parameters
timeperiod(default: 30): Lookback period
Formula
\[
\rho_{X,Y} = \frac{\text{cov}(X,Y)}{\sigma_X \sigma_Y}
\]