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StatisticalPine Script v6

ta.correlation()Correlation Coefficient

Describes the degree to which two series tend to deviate from their ta.sma values.

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Syntax

Syntax
ta.correlation(source1, source2, length) → series float

Arguments

ParameterTypeDescription
source1series int/floatFirst series.
source2series int/floatSecond series.
lengthseries intNumber of bars in the rolling window.

Returns

Correlation coefficient.

Remarks

na values in the source series are ignored.

Code Examples

Pine Script v6 Example
//@version=6
indicator("ta.correlation")
plot(ta.correlation(close, open, 20), title="Close vs Open corr")

Trading Applications

Measure correlation between two assets

Build pairs trading strategies

Identify diversification opportunities

Monitor inter-market relationships

Related Functions

ta.rcita.stdev

Frequently Asked Questions

It returns the Pearson correlation coefficient between two series over the last length bars, measuring linear co-movement from -1 (inverse) to +1 (same direction).

Values near 1 mean both series moved together; near -1 means opposite moves; near 0 means little linear relationship. Use longer lengths for smoother readings.

When two related symbols diverge but historical correlation is high, traders sometimes bet on mean reversion of the spread; correlation helps quantify whether the relationship is stable enough for that idea.

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