상관계수 (CC, Correlation Coefficient)

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정의

상관계수 (CC)는 통계학에서 두 데이터 셋 사이의 상대적인 관계를 재기 위해 쓰입니다. 트레이딩 분야에서 데이터 셋은 스탁, ETF 또는 모든 파이낸셜 인스트루먼트를 말합니다. 두개의 파이낸셜 인스트루먼트 사이 상호관계는, 간단히 말해, 그 두 종목이 어느 정도나 서로 연관이 있는가 하는 것입니다. 상관값은 1 에서 -1 사이의 값을 갖습니다. 그 값이 1에 가까울 수록 양의 상관성이 더 높습니다. 인스트루먼트는 위와 아래로 동시에 움직이게 됩니다. 그 값이 -1에 가까울 수록 그 두 종목은 서로 반대쪽으로 움직이게 됩니다. 0인 경우 아무런 상관성이 없습니다.

양의 방향으로 높은 상관성

히스토리

Correlation Coefficient is used not only in finance, but in statistical analysis spanning many different topics. It has been in use for hundreds of years.

계산

The Correlation Coefficient calculation uses Closing Prices. The below example will be made using the Closing Prices over 12 periods for the SPY and JPM:

Numbers may vary slightly due to rounding

All of the necessary data will need to be set up (preferably in a table) which can be done in three steps.

1. First, every period needs to be squared for both securities.

2. Multiply the each period value of SPY by each period of JPM. Notice the last column.

3. Find the Average Value for each column.

Now that all of the data has been properly arranged in a table, the rest of the formula can be completed. This portion can be done in three steps as well.

1. Calculate the Variance for both securities. Variance = Squared Average - (Average Value * Average Value)

SPY Variance: 2.3151

JPM Variance: 1.6934

2. Calculate the Covariance of the securities. Covariance = (Average Value of Security1 x Security2) - (Security1 Average Value x Security2 Average Value)

SPY & JPM Covariance = 1.8357

3. Calculate the Correlation Coefficient. Correlation Coefficient = Covariance / SQRT(Security1 Variance x Security2 Variance)

SPY & JPM Correlation Coefficient = 0.9271

기본

Even though The Correlation Coefficient (CC) moves within a band of 1 to -1, it is not considered an oscillator. Values fluctuate between positive and negative correlation, indicating how closely their prices move together. A Correlation Coefficient of +1 is perfect positive correlation and they move in perfect synch. A Correlation Coefficient of -1 is perfect negative correlation and they move in exact opposite directions. Both of these extremes are rare and the Correlation Coefficient will often fluctuate somewhere between the two. Correlation Coefficient of 0 is the middle point indicating that there is currently no correlation between the two instruments.

High Negative Correlation

볼 것

As opposed to a lot of technical analysis indicators, The Correlation Coefficient is ideal for longer-term investing. If in an investor is going for a truly diversified portfolio, then the Correlation Coefficient can come in quite useful. It can help you determine for diverse the assets in your portfolio are from one another. In other words, by having instruments with low correlation, unnecessary, duplicated risk can be avoided.

요약

As previously mentioned, The Correlation Coefficient can be a useful tool in assembling a diverse portfolio. One thing to always keep in mind however, is the correlation between two instruments can and does change from time to time. This indicator will help the trader to be aware of such changes and alter their investments accordingly.

TRADINGVIEW 에서 쓰는 법

1. Navigate to https://kr.tradingview.com/
2. On the landing page, enter a symbol and click "Launch Chart"
3. Within the Toolbar along the top of the chart select "Indicators" and choose the one you would like to add to your chart.
4. To make changes to your Indicator you will need to access the Formatting Window.
5. You can access the Formatting Window by either clicking on the Blue "Format" button in the Chart Header next to the Indicator name, or by right clicking on the Indicator in the chart itself and selecting "Format".

인풋

Symbol

The second instrument which will then be compared to the original instrument on the chart.

Length

The time period to be used in calculating the correlation. 20 days is the default.

Source

Determines what data from each bar will be used in calculations. Close is the default.

스타일

상관 (Correlation)

Can toggle the visibility of the Correlation Coefficient as well as the visibility of a price line showing the actual current value of the Correlation Coefficient. Can also select the Correlation Coefficient's color, line thickness and visual style (Area is the Default).

프로퍼티

Last Value on Price Scale

Toggles the visibility of Last Values for the Moving Average on the Price Scale.