OPEN-SOURCE SCRIPT
Correlation Stability
3 CORRELATION STABILITY INDICATOR
This indicator is shown as a table on the main chart.
WHAT IT DOES It evaluates how stable the statistical relationship between two assets is over time using correlation analysis.
HOW IT WORKS
• Correlation between two assets is calculated over rolling windows
• The test is performed periodically
• Each window is marked as pass or fail depending on correlation strength
• If more than half of the tested windows pass, the pair is considered stable
The result is displayed as a simple table showing the current status of the pair.
HOW TO USE This indicator is a filter, not a trading signal.
It helps the trader:
• Select suitable pairs for statistical arbitrage
• Avoid trading pairs where the relationship has broken down
• Improve the quality of mean-reversion signals
RECOMMENDED TO USE WITH
• Ornstein–Uhlenbeck Z-score for signal generation
• OU Signals Overlay for trade visualization
TRIGONUM STATISTICAL ARBITRAGE INDICATORS
This is a series of indicators developed by Trigonum for statistical arbitrage and pairs trading.
The core idea of the series is to trade the relationship between two assets, not the direction of a single market. All signals are based on mean reversion of a spread between two instruments and are intended to be used with hedged positions (long one asset and short the other).
The series consists of three indicators, each serving a different purpose.
This indicator is shown as a table on the main chart.
WHAT IT DOES It evaluates how stable the statistical relationship between two assets is over time using correlation analysis.
HOW IT WORKS
• Correlation between two assets is calculated over rolling windows
• The test is performed periodically
• Each window is marked as pass or fail depending on correlation strength
• If more than half of the tested windows pass, the pair is considered stable
The result is displayed as a simple table showing the current status of the pair.
HOW TO USE This indicator is a filter, not a trading signal.
It helps the trader:
• Select suitable pairs for statistical arbitrage
• Avoid trading pairs where the relationship has broken down
• Improve the quality of mean-reversion signals
RECOMMENDED TO USE WITH
• Ornstein–Uhlenbeck Z-score for signal generation
• OU Signals Overlay for trade visualization
TRIGONUM STATISTICAL ARBITRAGE INDICATORS
This is a series of indicators developed by Trigonum for statistical arbitrage and pairs trading.
The core idea of the series is to trade the relationship between two assets, not the direction of a single market. All signals are based on mean reversion of a spread between two instruments and are intended to be used with hedged positions (long one asset and short the other).
The series consists of three indicators, each serving a different purpose.
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。