OPEN-SOURCE SCRIPT
Correlation Stability
3 CORRELATION STABILITY INDICATOR
This indicator is shown as a table on the main chart.
WHAT IT DOES It evaluates how stable the statistical relationship between two assets is over time using correlation analysis.
HOW IT WORKS
• Correlation between two assets is calculated over rolling windows
• The test is performed periodically
• Each window is marked as pass or fail depending on correlation strength
• If more than half of the tested windows pass, the pair is considered stable
The result is displayed as a simple table showing the current status of the pair.
HOW TO USE This indicator is a filter, not a trading signal.
It helps the trader:
• Select suitable pairs for statistical arbitrage
• Avoid trading pairs where the relationship has broken down
• Improve the quality of mean-reversion signals
RECOMMENDED TO USE WITH
• Ornstein–Uhlenbeck Z-score for signal generation
• OU Signals Overlay for trade visualization
TRIGONUM STATISTICAL ARBITRAGE INDICATORS
This is a series of indicators developed by Trigonum for statistical arbitrage and pairs trading.
The core idea of the series is to trade the relationship between two assets, not the direction of a single market. All signals are based on mean reversion of a spread between two instruments and are intended to be used with hedged positions (long one asset and short the other).
The series consists of three indicators, each serving a different purpose.
This indicator is shown as a table on the main chart.
WHAT IT DOES It evaluates how stable the statistical relationship between two assets is over time using correlation analysis.
HOW IT WORKS
• Correlation between two assets is calculated over rolling windows
• The test is performed periodically
• Each window is marked as pass or fail depending on correlation strength
• If more than half of the tested windows pass, the pair is considered stable
The result is displayed as a simple table showing the current status of the pair.
HOW TO USE This indicator is a filter, not a trading signal.
It helps the trader:
• Select suitable pairs for statistical arbitrage
• Avoid trading pairs where the relationship has broken down
• Improve the quality of mean-reversion signals
RECOMMENDED TO USE WITH
• Ornstein–Uhlenbeck Z-score for signal generation
• OU Signals Overlay for trade visualization
TRIGONUM STATISTICAL ARBITRAGE INDICATORS
This is a series of indicators developed by Trigonum for statistical arbitrage and pairs trading.
The core idea of the series is to trade the relationship between two assets, not the direction of a single market. All signals are based on mean reversion of a spread between two instruments and are intended to be used with hedged positions (long one asset and short the other).
The series consists of three indicators, each serving a different purpose.
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。