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Covariance

by Stefan Kroscen, 3144 days ago
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Calculates the covariance of two numeric arrays. Similar to the covariance function in excel. The following description is taken from ehow:

Covariance is a measurement of how related the variances between two variables are. If the two variables both tend to increase together, it is a positive covariance, while if one tends to increase when the other decreases, it is a negative covariance. Zero covariance would indicate that the two variables are independent of each other. A high covariance, either positive or negative, suggests a correlation worth investigating but does not indicate causation.

Read more: How to Calculate Covariances | eHow.com http://www.ehow.com/how_5208932_calculate-covariances.html#ixzz1IVtwtJyw

Examples:
To chart the covariance of the change in DIA and SPY over the past 90 days, you could use:

Plot(covariance(Perf(GetSeries("DIA", close), 1), Perf(GetSeries("SPY", close), 1),2), "Covariance DIA SPY", colorLime|55|colorLime|64|0, ChartBar, StyleOwnScale);



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