OPEN-SOURCE SCRIPT
Function : Multiple Correlation
This script was written to calculate the correlation coefficient (Adjusted R-Squared) for one dependent and two independent variables.(3-way)
Pearson correlation method was used with exponential moving averages as the correlation calculation method.
Use your source ( i use "close" generally ) as the dependent variable.
Inspired by this article : real-statistics.com/correlation/multiple-correlation/
The Adjusted R-Squared coefficient is used as output, but the R-Squared coefficient is also available in the code.
Adjusted R-Squared is often used for multiple correlations.
It also gives better results in large samples.
Here is the article about the difference of the two coefficients : investopedia.com/ask/answers/012615/whats-difference-between-rsquared-and-adjusted-rsquared.asp
I wrote this function to increase the efficiency of my Dow Factor I used before.
When my research is over, I will apply the 3-factor correlation to my scripts.
I hope that I will achieve more efficient indicators and oscillators and even strategies.
In this command, I gave a few variable values and plotted them as an example.
I hope this function is useful in your work.
Finally, you can use periods as mutable variables.
The function is recovered from integer loads.
Best regards. Noldo
Open-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
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