Combining Price Correlations into a Trend and Volatility Indicator

Summary

This indicator combines rank autocorrelation measures calculated from open, close, high, and low prices into a single display. It uses the open-to-close correlation to determine candle colors as a representation of trend direction, while correlations involving highs and lows are presented as clues to the presence or absence of volatility. The stated purpose is therefore to condense several price-based correlation readings into one chart indicator.

The indicator supports Pearson and Spearman correlation, and the description notes that their outputs can differ enough to warrant testing for a particular trading approach. Its default period is described as more trend-oriented; shorter periods are suggested for faster, momentum-like responses. The author cautions that “rank” here should be understood as a trend-direction or momentum-like measure rather than the usual ranking of independent datasets. No formula details, empirical results, signal rules, or risk controls are supplied, so the indicator description alone does not establish predictive value.

Key ideas

• The indicator combines autocorrelation readings from open, close, high, and low prices.
• Candle colors reflect the open-to-close correlation, while high and low readings are used to indicate volatility conditions.
• Users can choose Pearson or Spearman correlation and adjust the period for slower or faster responses.
• The rank measure is presented as trend or momentum-like and has no performance evidence in the description.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.