Package com.strategyquant.tradinglib.correlation

Class CorrelationComputer

java.lang.Object

com.strategyquant.tradinglib.correlation.CorrelationComputer

public class CorrelationComputer
extends Object

Field Summary

Fields

Modifier and Type	Field	Description
static int	ERROR_VALUE	The Constant ERROR_VALUE.
static org.slf4j.Logger	Log	The Constant Log.
String[]	periodsStr	The periods.
TimePeriod	range	The range.
double[]	values1	The values1.
double[]	values2	The values2.

Constructor Summary

Constructors

Constructor	Description
CorrelationComputer()

Method Summary

Modifier and Type	Method	Description
static double	calculateCorrelation(double[] valuesA, double[] valuesB)	Calculate correlation between two value arrays.
static double	calculateSimilarity(double[] trades, double[] line)
double	computeCorrelation(boolean addEmptyPeriods, String symbol1, String symbol2, OrdersList orderList1, OrdersList orderList2, CorrelationPeriods periods)	Compute correlation between two list of orders.
double	computeCorrelation(ResultsGroup rg1, ResultsGroup rg2, int period, CorrelationType type, boolean addEmptyPeriods)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details

Log

public static final org.slf4j.Logger Log

The Constant Log.

ERROR_VALUE

public static final int ERROR_VALUE

The Constant ERROR_VALUE.

See Also:

Constant Field Values

range

public TimePeriod range

The range.

periodsStr

public String[] periodsStr

The periods.

values1

public double[] values1

The values1.

values2

public double[] values2

The values2.

Constructor Details

CorrelationComputer

public CorrelationComputer()

Method Details

computeCorrelation

public double computeCorrelation(ResultsGroup rg1,
 ResultsGroup rg2,
 int period,
 CorrelationType type,
 boolean addEmptyPeriods)

computeCorrelation

public double computeCorrelation(boolean addEmptyPeriods,
 String symbol1,
 String symbol2,
 OrdersList orderList1,
 OrdersList orderList2,
 CorrelationPeriods periods)

Compute correlation between two list of orders.

Parameters:

addEmptyPeriods - the add empty periods

orderList1 - the order list1

orderList2 - the order list2

Returns:

the double

calculateCorrelation

public static double calculateCorrelation(double[] valuesA,
 double[] valuesB)

Calculate correlation between two value arrays.

Parameters:

valuesA - array of values a

valuesB - array of values b

Returns:

the double

calculateSimilarity

public static double calculateSimilarity(double[] trades,
 double[] line)