I have been trying to make a script to determine correlation of S&P 500 sectors to the yield on 10 YR Treasury. I would like to be able to change the look back period.
Here is what I have…Can anyone tell me if this is accurate, or help me fix it?
S1 = GETDATA(CODE=TNX:CBOEI);
C1 = CLOSE();
CRL(C1, S1, BARS=252, CALCSTYLE=% Change)
Hi Matthew,
If you are using this in a watchlist or column chart then you will need to increase the amount of data that is loaded (for speed, we limit the data loaded to 1 year). Change the Date Range property to Last 10 Years, and change to a Weekly timeframe. Then change the formula to 52 weeks x 5 years = 260:
CRL(C1, S1, BARS=260, CALCSTYLE=% Change)
