With the correlation matrix, you can compare the performance of individual instruments and even whole instrument lists in real-time (!) in any time based timeframe. The correlation matrix can be filled with all possible instruments; you can also compare instruments from various asset classes.
Opening the Correlation Matrix
Select Main -> New -> Correlation Matrix.
In the next window, you can select the following settings for the matrix:
|Instrument list||Here, select the instruments for which the correlation matrix should be created. For the selected list, the correlation between each contained value is calculated.|
|Periodicity / Interval||Controls the timeframe on the basis of which the correlation between the instruments should be calculated|
|Correlation period||The number of periods in the respective timeframe that will be used for calculating the correlation. By default, the correlation is calculated based on the last 100 daily candles.|
|Bars Count / Time period||Number of bars to be loaded in the linked chart. Next to the correlation matrix you see a chart which will assume these settings.|
|Template||Chart template for the linked chart next to the matrix.|
Matrix – View
By default, the correlation is displayed in the matrix view, which is a two-dimensional table with each symbol of the selected instrument list on the x-axis and y-axis respectively.
The matrix is to be read in such a way that the intersection of a row with a column outputs the respective correlation coefficient of the two values to each other. The correlation coefficient is 100 when the same symbol is selected in the row and column.
Using the plus icon in the top left corner of the matrix, you can add individual values to the matrix, for which the correlation coefficient will then be calculated for the entire instrument list again.
When you click on an individual correlation coefficient, the corresponding value is loaded in the chart to the right of the matrix. In the process, the instrument from the selected column is loaded to the chart as the primary data series; the instrument from the selected row as the secondary data series and as a line chart. For this, the price axis is changed to percentage values, in order to make the two data series comparable. The first data point of the secondary data series begins at 0%; after this, the percentage changes per period are displayed in comparison to the primary data series. Addtionally if you click on a field in the matrix the InstrumentCorrelation indicator is loaded to the chart, find more details about the indicator below.
The Instrument Correlation Indicator
When you hover over a correlation coefficient with the mouse in the matrix, a pop-up appears showing a graphic display of the temporal development of the correlation coefficient. For the display, the “InstrumentsCorrelation” indicator is used, which is also loaded into the chart to the right of the matrix by default. This indicator calculates the historical correlation coefficient for every historical period and depicts it graphically. With this indicator, you can very easily monitor how the correlation has changed over time, i.e. whether the correlation between two values remains constant or is subject to strong fluctuations.
|“List” button||Using the “List” button in the top right, you can switch to the list view, where every instrument pair is now shown in the list and the corresponding correlation is displayed. The list is sorted in descending order; the highest correlation coefficients are shown as the first values.|
|Timeframe||Using “Timeframe”, you can change the timeframe based on which the correlation should be calculated.|
|Periods||Periods controls the number of historical periods that serve as a foundation for the correlation calculation.|
By right-clicking in the matrix or the list, you can call up the correlation-specific display settings. You can set the values from which the cells should begin to be colored, and also the colors that should be used for a value of +100 and -100. The default color (= white) is used for values under the defined limit. Values located within the limit will be color-graded: the closer the value lies to +/- 100, the closer the background color will be to one of the two selected colors for the extreme values.
By default, a green background coloration begins at a value of +60, and values below -60 receive red background coloration.
The Correlation Coefficient
The correlation coefficient value measures the degree of the linear correlation between two values and can accept values between +1 and -1. In the correlation matrix, the values are multiplied by 100, which is why the coefficient in AgenaTrader oscillates between +100 and -100. For a value of +100, there is a completely positive correlation between the observed values, and the price development is completely identical, therefore if instrument A increases, price B increases too, whereby just using the correlation coefficient alone, one cannot extrapolate the ratio of the extent of the increase. For a value of -100, there is a completely inverse dependency – whenever instrument A increases, price B falls. You can find more detailed information on correlation coefficients under the following link: