OPEN-SOURCE SCRIPT

Pearson vs Approx. Spearman Correlation

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This indicator displays the rolling Pearson and approximate Spearman correlation between the chart's asset and a second user-defined asset, based on log returns over a customizable window.

Features:

- Pearson correlation of log returns (standard linear dependency measure)

- Approximate Spearman correlation, using percentile ranks to better capture nonlinear and monotonic relationships

/ Horizontal lines showing:

Maximum and minimum correlation values over a statistical window

1st quartile (25%) and 3rd quartile (75%) — helpful for identifying statistically high or low regimes

This script is useful for identifying dynamic co-movements, regime changes, or correlation breakdowns between assets — applicable in risk management, portfolio construction, and pairs trading strategies.

Clause de non-responsabilité

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