Kendall Rank Correlation Coefficient (alt) — Indicator by tartigradia

statistics correlation correlations correlationcoefficient

This is a non-parametric correlation statistical test, which is less sensitive to magnitude and more to direction, hence why some people call this a "concordance test".

This indicator was originally created by Alex Orekhov (everget), if you like this one, please show the original author some love:

This version is extended by tartigradia (2022) to make it more readily useable:
* Update to pinescript v5
* Default compare to current symbol (instead of only fixed symbols)
* Add 1.0, 0.0 and -1.0 correlation levels lines.

This indicator plots both the Kendall correlation in orange, and the more classical parametric Pearson correlation in purple for comparison. Either can be disabled in the Style tab.

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Disclaimer

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

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