Correlation Matrix - Wealth Lab Forum

Correlation Matrix

Author: Sammy_G

Creation Date: 2/17/2011 9:33 PM

Wealth Lab » WealthScript (.NET) » Correlation Matrix

Sammy_G

2/17/2011 9:33 PM

Trying to develop a correlation matrix table; code so far:

CODE:
Please log in to see this code.

Would like assistance in printing the array/table to commentary window. Suggestions to improve the code also welcome.

Size:

Color:

Trying to develop a correlation matrix table; code so far:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;		// Correlation

namespace WealthLab.Strategies
{
	public class Holder
	{
		public double _value;
		public string symPair;
	}

public class MyStrategy : WealthScript
	{
		bool NO_AUTO_EXECUTE = true;
		
		protected override void Execute()
		{
			if(NO_AUTO_EXECUTE) goto halt; 
			else 
				goto go;
			halt:
			{
				NO_AUTO_EXECUTE = false;
				return;
			}
			go:
			{
				ClearDebug();
				int prd = 252;
				int n = 0;
				string sym1;
				string sym2;
				string sep1 = ";";
				double[,] corMulti = new double[100,100];
				List<Holder> list = new List<Holder>();

for(int w = 0; w < DataSetSymbols.Count; w++)
				{
					try
					{
						sym1 = DataSetSymbols[w];
						SetContext(sym1, true);	
						DataSeries C1 = Close;
						int lastbar1 = Bars.Count -1;
						int fab1 = Bars.FirstActualBar;

for(int x = n; x < DataSetSymbols.Count; x++)
						{
							try
							{
								sym2 = DataSetSymbols[x];
								SetContext(sym2, true);
								DataSeries C2 = Close;
								int lastbar2 = Bars.Count -1;
								int fab2 = Bars.FirstActualBar;
								PrintStatusBar("Symbols: " + (w+1) + "/" + DataSetSymbols.Count + " " + sym1 + ":" + sym2);
								int corrPrd = (int)Math.Min(lastbar2 - Math.Max(fab1, fab2), prd);
								double corr = Correlation.Series(C1, C2, corrPrd)[lastbar2];
								corMulti[w,x] = corr;
								corMulti[x,w] = corr;
								if(corr < 1)
								{
									Holder CorrHolder = new Holder();
									CorrHolder._value = corr;
									CorrHolder.symPair = sym1 + sep1 + sym2;
									list.Add(CorrHolder);
								}
								if(sym2 != sym1)
									Bars.Cache.Clear();	
							}
							catch (Exception e)
							{
								PrintDebug(DataSetSymbols[x] + " error: " + e.Message );
								continue;
							}
							RestoreContext();
						}
						n++;
						Bars.Cache.Clear();	
					}
					catch (Exception e)
					{
						PrintDebug(DataSetSymbols[w] + " error: " + e.Message );
						continue;
					}
					RestoreContext();
				}

} 
		} 
	} 
}[/CODE]
Would like assistance in printing the array/table to commentary window. Suggestions to improve the code also welcome.

Eugene

2/18/2011 1:28 AM

Please see the Wealth-Lab Wiki FAQ | "Missing" features > Can't seem to find the Commentary window.

Sammy_G

2/18/2011 7:25 AM

OK. [I also reviewed the only script that I could find that uses commentary - Best and Worst Ind Grps.]

Unfortunately, b/c of my general lack of familiarity with arrays and the commands for creating/displaying html tables (and I don't have Front Page), it would be appreciated if you can help me with the coding required for displaying the array contents to a commentary window.

Eugene

2/18/2011 7:47 AM

Not sure why you mentioned FrontPage. It's not required altogether. The CommentaryWindow class works with plain text as well.

Its .AddLine() method accepts strings. Every onbject in .NET has a ToString() method, including double values in an array. While looping over your array, depending on what you would like to output, pass the result of string conversion (e.g. some_double_value.ToString()) to .AddLine(). Appended strings will build the output line by line. Finally when looping is done, send the result to an instance of the CommentaryWindow class using .Display().

Sammy_G

2/18/2011 1:54 PM

Thanks for those useful tips, Eugene. One more Q: I want the output to look like a table/matrix (e.g. as at http://www.assetcorrelation.com/); how do I achieve that? (be advised, when it comes to arrays, I am still a newbie!)

Eugene

2/18/2011 2:08 PM

Remember those fancy colorful scripts by fundtimer rendering tables in WL4's Commentary Window? Same principle applies: you build/write raw HTML line by line, and insert those double values from arrays converted into strings. Pure HTML.