rajandran.r

Autocorrelation

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Autocorrelation, also known as serial correlation, is the cross-correlation of a signal with itself. Informally, it is the similarity between observations as a function of the time lag between them. - Wikipedia
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//Author - Rajandran R
//www.marketcalls.in
study("Autocorrelation - Marketcalls")
len=input(10, minval=1,maxval = 50)
Dayreturn=roc(close,1)
autocorr = correlation(Dayreturn,Dayreturn[1],len)
plot(autocorr, color = green , style = line , linewidth = 2,title = "Autocorrelation")
hline(0, title='hline1', color=red, linestyle=dotted, linewidth=2)
I don't get it. Exactly what correlation is this? Kindly explain.
+1 Reply
rajandran.r sanjayforu
Autocorrelation is correlation between your current behavior & your behavior few days back. Higher the number = your behaviour haven't changed . Lower the number = your behaviour is against few days back
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sanjayforu rajandran.r
Thanks for the explanation.
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shankar.gd.1 rajandran.r
How is my behaviour tracked?
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Haha what!? This makes no sense.
Reply
I think we need a more clear English explanation.
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