Correlation

QuantConnect.Indicators.Correlation

Correlation(
    name: str,
    target_symbol: Union[Symbol, str, BaseContract],
    reference_symbol: Union[Symbol, str, BaseContract],
    period: int,
    correlation_type: CorrelationType = ...,
)

Correlation(
    target_symbol: Union[Symbol, str, BaseContract],
    reference_symbol: Union[Symbol, str, BaseContract],
    period: int,
    correlation_type: CorrelationType = ...,
)

Bases: DualSymbolIndicator[IBaseDataBar]

The Correlation Indicator is a valuable tool in technical analysis, designed to quantify the degree of relationship between the price movements of a target security (e.g., a stock or ETF) and a reference market index. It measures how closely the target’s price changes are aligned with the fluctuations of the index over a specific period of time, providing insights into the target’s susceptibility to market movements. A positive correlation indicates that the target tends to move in the same direction as the market index, while a negative correlation suggests an inverse relationship. A correlation close to 0 implies a weak or no linear relationship. Commonly, the SPX index is employed as the benchmark for the overall market when calculating correlation, ensuring a consistent and reliable reference point. This helps traders and investors make informed decisions regarding the risk and behavior of the target security in relation to market trends.

The indicator only updates when both assets have a price for a time step. When a bar is missing for one of the assets, the indicator value fills forward to improve the accuracy of the indicator.

Signature descriptions:

• Creates a new Correlation indicator with the specified name, target, reference, and period values

• Creates a new Correlation indicator with the specified target, reference, and period values

Parameters:

Name	Type	Description	Default
name	Optional[str]	The name of this indicator	None
target_symbol	Union[Symbol, str, BaseContract]	The target symbol of this indicator	required
period	int	The period of this indicator	required
reference_symbol	Union[Symbol, str, BaseContract]	The reference symbol of this indicator	required
correlation_type	CorrelationType	Correlation type	...

is_ready

is_ready: bool

Gets a flag indicating when the indicator is ready and fully initialized

warm_up_period

warm_up_period: int

Required period, in data points, for the indicator to be ready and fully initialized.

consolidators

consolidators: ISet[IDataConsolidator]

The data consolidators associated with this indicator if any

current

current: IndicatorDataPoint

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

previous

previous: IndicatorDataPoint

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

name

name: str

Gets a name for this indicator

samples

samples: int

Gets the number of samples processed by this indicator

updated

updated: _EventContainer[
    Callable[[Object, IndicatorDataPoint], Any], Any
]

Event handler that fires after this indicator is updated

window

window: RollingWindow[IndicatorDataPoint]

A rolling window keeping a history of the indicator values of a given period

data_by_symbol

data_by_symbol: Dictionary[Symbol, SymbolData]

Relevant data for each symbol the indicator works on, including all inputs and actual data points used for calculation.

This codeEntityType is protected.

indicator_value

indicator_value: float

The most recently computed value of the indicator.

This codeEntityType is protected.

target_data_points

target_data_points: IReadOnlyWindow[
    QuantConnect_Indicators_DualSymbolIndicator_TInput
]

RollingWindow to store the data points of the target symbol

This codeEntityType is protected.

reference_data_points

reference_data_points: IReadOnlyWindow[
    QuantConnect_Indicators_DualSymbolIndicator_TInput
]

RollingWindow to store the data points of the reference symbol

This codeEntityType is protected.

reference_symbol

reference_symbol: Symbol

Symbol of the reference used

This codeEntityType is protected.

target_symbol

target_symbol: Symbol

Symbol of the target used

This codeEntityType is protected.

SymbolData

SymbolData(
    symbol: Union[Symbol, str, BaseContract], period: int
)

Bases: Object

Contains the data points, the current input and other relevant indicator data for a symbol.

This codeEntityType is protected.

Initializes a new instance of the SymbolData class.

exchange_time_zone

exchange_time_zone: Any

The exchange time zone for the security represented by this symbol.

data_points

data_points: RollingWindow[
    QuantConnect_Indicators_MultiSymbolIndicator_TInput
]

Data points for the symbol. This only hold the data points that have been used to calculate the indicator, which are those that had matching end times for every symbol.

current_input

current_input: (
    QuantConnect_Indicators_MultiSymbolIndicator_TInput
)

The last input data point for the symbol.

new_input

new_input: _EventContainer[
    Callable[
        [
            Object,
            QuantConnect_Indicators_MultiSymbolIndicator_TInput,
        ],
        Any,
    ],
    Any,
]

Event that fires when a new input data point is set for the symbol.

current_input_end_time_utc

current_input_end_time_utc: datetime

The end time of the last input data point for the symbol in UTC.

reset

reset() -> None

Resets this symbol data to its initial state

set_resolution

set_resolution(resolution: Resolution) -> None

Sets the resolution for this symbol data, to be used for time alignment.

compute_indicator

compute_indicator() -> float

Computes the correlation value usuing symbols values correlation values assing into _correlation property

This codeEntityType is protected.

__eq__

__eq__(right: float) -> bool

__eq__(right: IndicatorBase) -> bool

__eq__(right: float) -> bool

__eq__(right: IndicatorBase) -> bool

__eq__(right: int) -> bool

__eq__(right: IndicatorBase) -> bool

__eq__(right: int) -> bool

__eq__(right: IndicatorBase) -> bool

Signature descriptions:

• Determines if the indicator's current value is equal to the specified value

• Determines if the specified value is equal to the indicator's current value

__ge__

__ge__(right: float) -> bool

__ge__(right: IndicatorBase) -> bool

__ge__(right: float) -> bool

__ge__(right: IndicatorBase) -> bool

__ge__(right: int) -> bool

__ge__(right: IndicatorBase) -> bool

__ge__(right: int) -> bool

__ge__(right: IndicatorBase) -> bool

Signature descriptions:

• Determines if the indicator's current value is greater than or equal to the specified value

• Determines if the specified value is greater than or equal to the indicator's current value

__gt__

__gt__(right: float) -> bool

__gt__(right: IndicatorBase) -> bool

__gt__(right: float) -> bool

__gt__(right: IndicatorBase) -> bool

__gt__(right: int) -> bool

__gt__(right: IndicatorBase) -> bool

__gt__(right: int) -> bool

__gt__(right: IndicatorBase) -> bool

Signature descriptions:

• Determines if the indicator's current value is greater than the specified value

• Determines if the specified value is greater than the indicator's current value

__le__

__le__(right: float) -> bool

__le__(right: IndicatorBase) -> bool

__le__(right: float) -> bool

__le__(right: IndicatorBase) -> bool

__le__(right: int) -> bool

__le__(right: IndicatorBase) -> bool

__le__(right: int) -> bool

__le__(right: IndicatorBase) -> bool

Signature descriptions:

• Determines if the indicator's current value is less than or equal to the specified value

• Determines if the specified value is less than or equal to the indicator's current value

__lt__

__lt__(right: float) -> bool

__lt__(right: IndicatorBase) -> bool

__lt__(right: float) -> bool

__lt__(right: IndicatorBase) -> bool

__lt__(right: int) -> bool

__lt__(right: IndicatorBase) -> bool

__lt__(right: int) -> bool

__lt__(right: IndicatorBase) -> bool

Signature descriptions:

• Determines if the indicator's current value is less than the specified value

• Determines if the specified value is less than the indicator's current value

__ne__

__ne__(right: float) -> bool

__ne__(right: IndicatorBase) -> bool

__ne__(right: float) -> bool

__ne__(right: IndicatorBase) -> bool

__ne__(right: int) -> bool

__ne__(right: IndicatorBase) -> bool

__ne__(right: int) -> bool

__ne__(right: IndicatorBase) -> bool

Signature descriptions:

• Determines if the indicator's current value is not equal to the specified value

• Determines if the specified value is not equal to the indicator's current value

compare_to

compare_to(obj: Any) -> int

compare_to(other: IIndicator) -> int

Signature descriptions:

• Compares the current instance with another object of the same type and returns an integer that indicates whether the current instance precedes, follows, or occurs in the same position in the sort order as the other object.

• Compares the current object with another object of the same type.

Parameters:

Name	Type	Description	Default
obj	Optional[Any]	An object to compare with this instance.	None
other	Optional[IIndicator]	An object to compare with this object.	None

Returns:

Type

Description

int

Depends on the signature used. Case 1: [A value that indicates the relative order of the objects being compared. The return value has these meanings: Value Meaning Less than zero This instance precedes obj in the sort order. Zero This instance occurs in the same position in the sort order as obj. Greater than zero This instance follows obj in the sort order.]; Case 2: [A value that indicates the relative order of the objects being compared. The return value has the following meanings: Value Meaning Less than zero This object is less than the other parameter.Zero This object is equal to other. Greater than zero This object is greater than other.]

update

update(input: IBaseData) -> bool

update(time: Union[datetime, date], value: float) -> bool

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:

Name	Type	Description	Default
input	Optional[IBaseData]	The value to use to update this indicator	None
time	Optional[Union[datetime, date]]	The time associated with the value	None
value	Optional[float]	The value to use to update this indicator	None

Returns:

Type	Description
bool	True if this indicator is ready, false otherwise.

__getitem__

__getitem__(i: int) -> IndicatorDataPoint

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Parameters:

Name	Type	Description	Default
i	int	The index	required

Returns:

Type	Description
IndicatorDataPoint	the ith most recent indicator value.

__iter__

__iter__() -> Iterator[IndicatorDataPoint]

compute_next_value

compute_next_value(
    input: QuantConnect_Indicators_MultiSymbolIndicator_TInput,
) -> float

Checks and computes the indicator if the input data matches. This method ensures the input data points are from matching time periods and different symbols.

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
input	QuantConnect_Indicators_MultiSymbolIndicator_TInput	The input data point (e.g., TradeBar for a symbol).	required

Returns:

Type	Description
float	The most recently computed value of the indicator.

equals

equals(obj: Any) -> bool

Determines whether the specified object is equal to the current object.

Parameters:

Name	Type	Description	Default
obj	Any	The object to compare with the current object.	required

Returns:

Type	Description
bool	true if the specified object is equal to the current object; otherwise, false.

get_enumerator

get_enumerator() -> IEnumerator[IndicatorDataPoint]

Returns an enumerator that iterates through the history window.

Returns:

Type	Description
IEnumerator[IndicatorDataPoint]	A System.Collections.Generic.IEnumerator`1 that can be used to iterate through the history window.

get_hash_code

get_hash_code() -> int

Get Hash Code for this Object

Returns:

Type	Description
int	Integer Hash Code.

on_updated

on_updated(consolidated: IndicatorDataPoint) -> None

Event invocator for the Updated event

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
consolidated	IndicatorDataPoint	This is the new piece of data produced by this indicator	required

reset

reset() -> None

Resets this indicator to its initial state

to_detailed_string

to_detailed_string() -> str

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Returns:

Type	Description
str	A detailed string of this indicator's current state.

to_string

to_string() -> str

ToString Overload for Indicator Base

Returns:

Type	Description
str	String representation of the indicator.

validate_and_compute_next_value

validate_and_compute_next_value(
    input: QuantConnect_Indicators_IndicatorBase_T,
) -> IndicatorResult

Computes the next value of this indicator from the given state and returns an instance of the IndicatorResult class

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
input	QuantConnect_Indicators_IndicatorBase_T	The input given to the indicator	required

Returns:

Type	Description
IndicatorResult	An IndicatorResult object including the status of the indicator.