correlation
Compute rolling pairwise correlation of returns across symbols.
Parameters
- standard
data: Data | DataFrame | Series | dict | list | list[DataFrame] | list[Data] | list[Series] | ndarray
Long-format multi-symbol price data with a symbol column.
index: str
Default: date
Index column name in data.
target: str
Default: close
Column to compute correlation on.
window: int
Default: 60
Rolling window length in bars.
method: str
Default: pearson
Correlation method passed through to pandas.DataFrame.corr.
pairs: list[tuple[str, str]]
Optional explicit list of (symbol_a, symbol_b) pairs. Defaults to all unique pairs.
Returns
results: list[CorrelationData]
Serializable results.
provider: str
Provider name.
warnings: Optional[list[Warning_]]
List of warnings.
chart: Optional[Chart]
Chart object.
extra: dict[str, Any]
Extra info.
Data
- standard
date: date | datetime | str
Observation date.
symbol_a: str
First symbol of the pair.
symbol_b: str
Second symbol of the pair.
correlation: float
Rolling correlation between symbol_a and symbol_b.