correlation coefficient (#14)

* add Correlation Coefficient

Indicators/Cci/Cci.cs

@@ -34,14 +34,14 @@ public static IEnumerable<CciResult> GetCci(IEnumerable<Quote> history, int look
             // roll through interim results to calculate CCI
             foreach (CciResult result in results.Where(x => x.Index >= lookbackPeriod))
             {
-                IEnumerable<CciResult> lookback = results.Where(x => x.Index <= result.Index && x.Index > (result.Index - lookbackPeriod));
+                IEnumerable<CciResult> period = results.Where(x => x.Index <= result.Index && x.Index > (result.Index - lookbackPeriod));
 
-                decimal smaTp = (decimal)lookback.Select(x => x.Tp).Average();
+                decimal smaTp = (decimal)period.Select(x => x.Tp).Average();
                 decimal meanDv = 0;
 
-                foreach (CciResult l in lookback)
+                foreach (CciResult p in period)
                 {
-                    meanDv += Math.Abs(smaTp - (decimal)l.Tp);
+                    meanDv += Math.Abs(smaTp - (decimal)p.Tp);
                 }
                 meanDv /= lookbackPeriod;
                 result.Cci = (result.Tp - smaTp) / ((decimal)0.015 * meanDv);

Indicators/Correlation/Correlation.Models.cs

@@ -0,0 +1,20 @@
+using System;
+
+namespace Skender.Stock.Indicators
+{
+
+    public class CorrResult
+    {
+        public int Index { get; set; }
+        public DateTime Date { get; set; }
+        public decimal? Correlation { get; set; }
+
+        // internal use only
+        internal decimal PriceA { get; set; }
+        internal decimal PriceB { get; set; }
+        internal decimal PriceA2 => PriceA * PriceA;
+        internal decimal PriceB2 => PriceB * PriceB;
+        internal decimal PriceAB => PriceA * PriceB;
+    }
+
+}

Indicators/Correlation/Correlation.cs

@@ -0,0 +1,63 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace Skender.Stock.Indicators
+{
+    public static partial class Indicator
+    {
+        // CORRELATION (e.g. BETA when used with Indices)
+        public static IEnumerable<CorrResult> GetCorrelation(IEnumerable<Quote> historyA, IEnumerable<Quote> historyB, int lookbackPeriod)
+        {
+            // clean quotes
+            historyA = Cleaners.PrepareHistory(historyA);
+            historyB = Cleaners.PrepareHistory(historyB);
+
+            // initialize results
+            List<CorrResult> results = new List<CorrResult>();
+
+
+            // roll through history for interim data
+            foreach (Quote a in historyA)
+            {
+                Quote b = historyB.Where(x => x.Date == a.Date).FirstOrDefault();
+                if (b == null)
+                {
+                    throw new BadHistoryException("Correlation requires matching dates in provided histories.  {0} not found in historyB.");
+                }
+
+                CorrResult result = new CorrResult
+                {
+                    Index = (int)a.Index,
+                    Date = a.Date,
+                    PriceA = a.Close,
+                    PriceB = b.Close
+                    // other values calculated in class properties
+                };
+                results.Add(result);
+            }
+
+            // compute correlation
+            foreach (CorrResult r in results.Where(x => x.Index >= lookbackPeriod))
+            {
+                IEnumerable<CorrResult> period = results.Where(x => x.Index > (r.Index - lookbackPeriod) && x.Index <= r.Index);
+
+                decimal avgA = period.Select(x => x.PriceA).Average();
+                decimal avgB = period.Select(x => x.PriceB).Average();
+                decimal avgA2 = period.Select(x => x.PriceA2).Average();
+                decimal avgB2 = period.Select(x => x.PriceB2).Average();
+                decimal avgAB = period.Select(x => x.PriceAB).Average();
+
+                decimal varianceA = avgA2 - avgA * avgA;
+                decimal varianceB = avgB2 - avgB * avgB;
+                decimal covariance = avgAB - avgA * avgB;
+
+                r.Correlation = covariance / (decimal)Math.Sqrt((double)(varianceA * varianceB));
+            }
+
+            return results;
+        }
+
+    }
+
+}

Indicators/Correlation/README.md

@@ -0,0 +1,53 @@
+# Correlation Coefficient (e.g Beta)
+
+Correlation between two quote histories, based on Close price.  This is `Beta` if one history represents the overall market.
+[More info ...](https://school.stockcharts.com/doku.php?id=technical_indicators:correlation_coeffici)
+
+``` C#
+// usage
+IEnumerable<CorrResult> results = Indicator.GetCorr(history, lookbackPeriod);  
+```
+
+## Parameters
+
+| name | type | notes
+| -- |-- |--
+| `historyA` | IEnumerable\<[Quote](/GUIDE.md#Quote)\> | Historical Quotes data should be at any consistent frequency (day, hour, minute, etc).  You must supply at least `N` periods of `history`.  The `A` history will be used to establish result length, so use the shorter history here.
+| `historyB` | IEnumerable\<[Quote](/GUIDE.md#Quote)\> | Historical Quotes data should be at any consistent frequency (day, hour, minute, etc).  You must supply at least `N` periods of `history`.  Must at least the same date elements of `historyA`.  Exception will be thrown if not matched.
+| `lookbackPeriod` | int | Number of periods (`N`) in the lookback period.
+
+## Response
+
+``` C#
+IEnumerable<CorrResult>
+```
+
+The first `N-1` periods will have `null` values since there's not enough data to calculate.  We always return the same number of elements as there are in the historical quotes.
+
+### CorrResult
+
+| name | type | notes
+| -- |-- |--
+| `Index` | int | Sequence of dates
+| `Date` | DateTime | Date
+| `Corr` | decimal | Correlation based on `N` lookback periods
+
+## Example
+
+``` C#
+// fetch historical quotes from your favorite feed, in Quote format
+IEnumerable<Quote> historyTSLA = GetHistoryFromFeed("TSLA");
+IEnumerable<Quote> historySPX = GetHistoryFromFeed("SPX");
+
+// calculate 20-period Correlation
+IEnumerable<CorrResult> results = Indicator.GetCorr(historySPX,historyTSLA,20);
+
+// use results as needed
+DateTime evalDate = DateTime.Parse("12/31/2018");
+CorrResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
+Console.WriteLine("CORR(SPX,TSLA,20) on {0} was ${1}", result.Date, result.Corr);
+```
+
+``` text
+CORR(SPX,TSLA,20) on 12/31/2018 was 0.85
+```

Indicators/StochasticRsi/StochRsi.cs

@@ -29,10 +29,10 @@ public static IEnumerable<StochRsiResult> GetStochRsi(IEnumerable<Quote> history
 
                 if (h.Index >= 2 * lookbackPeriod)
                 {
-                    IEnumerable<RsiResult> lookback = rsiResults.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
-                    float? rsi = lookback.Where(x => x.Index == h.Index).FirstOrDefault().Rsi;
-                    float? rsiHigh = lookback.Select(x => x.Rsi).Max();
-                    float? rsiLow = lookback.Select(x => x.Rsi).Min();
+                    IEnumerable<RsiResult> period = rsiResults.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
+                    float? rsi = period.Where(x => x.Index == h.Index).FirstOrDefault().Rsi;
+                    float? rsiHigh = period.Select(x => x.Rsi).Max();
+                    float? rsiLow = period.Select(x => x.Rsi).Min();
 
                     result.StochRsi = (rsi - rsiLow) / (rsiHigh - rsiLow);
                 }