/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2017 Marc de Verdelhan & respective authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j.indicators.statistics;
import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.Indicator;
import eu.verdelhan.ta4j.indicators.CachedIndicator;
/**
* Correlation coefficient indicator.
* <p>
* See also: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:correlation_coeffici
*/
public class CorrelationCoefficientIndicator extends CachedIndicator<Decimal> {
private VarianceIndicator variance1;
private VarianceIndicator variance2;
private CovarianceIndicator covariance;
/**
* Constructor.
* @param indicator1 the first indicator
* @param indicator2 the second indicator
* @param timeFrame the time frame
*/
public CorrelationCoefficientIndicator(Indicator<Decimal> indicator1, Indicator<Decimal> indicator2, int timeFrame) {
super(indicator1);
variance1 = new VarianceIndicator(indicator1, timeFrame);
variance2 = new VarianceIndicator(indicator2, timeFrame);
covariance = new CovarianceIndicator(indicator1, indicator2, timeFrame);
}
@Override
protected Decimal calculate(int index) {
Decimal cov = covariance.getValue(index);
Decimal var1 = variance1.getValue(index);
Decimal var2 = variance2.getValue(index);
return cov.dividedBy(var1.multipliedBy(var2).sqrt());
}
}