Moved: Autocorrelation

Hi Matthew,
I know what autocorrelation is in formal mathematical terms. I am not confident I know what the Optuma autocorrelation tool is doing. “Max periods” is what? Are we talking about a specific number of lags or ‘correlogram coefficients’? “Regression length” is what? The number of samples (Close price?) back from what point in time? The latest price backwards or is it running over the whole history in blocks of ‘regression length’? (over which the mean is computed for the normalisation?)
Just a couple of clues or an example would help. It’s not obvious and I distrust black boxes. I’ve been unable to find online help or any conversation in the forum that deals with this. I just need to have a little more confidence in what I am looking at.


Hi Colin,

Firstly as this is not a scripting question, I moved it out of that forum.

Max Cycles is the maximum cycle length that the autocorrelation will search for. ie if it is set to 500 then it will not search for any cycles above 500.

The way it works is that we take a copy of the dataset and offset it for each number from 0 to Max Cycles.
Then we perform the LeastSquares (Correlation) calculation the two datasets. The “Regression Length” determines how many bars contribute to the correlation function.

Hope that helps