Oscillator From Correlation Data

Optuma Scripting
1

Hi,

I have a watchlist of the 11 S&P 500 sectors. I have a scripted column calculating the 10-day correlation to SPY.

CORREL(HTTIMEFRAME=Bars, BARS2=10, CALCSTYLE=% Change, INDEX=SPY:US)

Above this column, I have a summary row showing the average. Please see picture 1. That average value, highlighted in yellow, is what I want to plot on a daily basis as a tool under a chart.

I have tried a few things, including the following, which did not work: 

//Calculate the sector correlations
V1 = ISTICKER(CODE=XLRE:US) ;
C1 = CORREL(V1, HTTIMEFRAME=Bars, BARS2=10, CALCSTYLE=% Change, INDEX=SPY:US);
V2 = ISTICKER(CODE=XLY:US) ;
C2 = CORREL(V2, HTTIMEFRAME=Bars, BARS2=10, CALCSTYLE=% Change, INDEX=SPY:US);
//Calculate the average of the sector correlations
(C1 + C2) /2

Thank you.

picture-1.jpg
picture-1.jpg1245×607 107 KB

2

Hi Louis,

The only way to get average watchlist statistics is to create a custom breadth measure under Data > Market Breadth. Use the one line CORREL() formula and run it on the S&P 500 Sector ETFs symbol list, with the Breadth Action set to Average.

The current value, is 0.90 which matches your watchlist summary row. It makes for some interesting correlation cycles:

Capture

3

Thanks Darren. Its working perfectly now.