correlation_Pearson

//+------------------------------------------------------------------+
//|                                          correlation_Pearson.mq4 |
//|                                         Copyright ? 2006, zolero |
//|       made to help albedo@email.it who shared a wish to see this |
//|                                            indicator working ;)  |
//+------------------------------------------------------------------+
#property copyright "Copyright ? 2006, idea: albedo@email.it"

#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 Red
extern int R_Period=13;
extern string Pair1="GBPJPY";
extern string Pair2="USDJPY";
double R[];
double X[],Y[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
  {
//---- indicators
//---- drawing settings
   SetIndexStyle(1,DRAW_LINE);
   IndicatorShortName(Pair1+"/"+Pair2+"  R("+R_Period+")");
   SetIndexStyle(0,DRAW_LINE);
   SetIndexBuffer(0,R);
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function                       |
//+------------------------------------------------------------------+
int deinit()
  {
//----
   
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int start()
  {
   int    counted_bars=IndicatorCounted();
//----
  double X[],Y[];
  int piir, limit, omega;
  double sumxy, sumx, sumx2, sumy, sumy2;
  double yks, kaks, kolm;
  
  limit=Bars-counted_bars; //always just 1 bar after first calculation
  if(counted_bars==0) limit=Bars-R_Period-1; //first time it should be enough bars to calculate
  ArrayResize(X,limit); // min size of array is using less memory
  ArrayResize(Y,limit);
  ArrayCopySeries(X,MODE_OPEN,Pair1,0);
  ArrayCopySeries(Y,MODE_OPEN,Pair2,0);

  omega=0;
  while(omega<=limit)
  {
  sumxy=0; sumx=0; sumx2=0;
  sumy=0; sumy2=0;
  for(int i=1; i<=R_Period; i++)
  {
  sumxy+=X[omega+i]*Y[omega+i];
  sumx+=X[omega+i];
  sumx2+=MathPow(X[omega+i],2.); //2. is neccesary because MathPow wants both parts as double
  sumy+=Y[omega+i];
  sumy2+=MathPow(Y[omega+i],2.);//but it seems to work with "2" as well
  }
  
  yks=sumxy-(sumx*sumy)/R_Period;
  kaks=sumx2-(MathPow(sumx,2.)/R_Period);
  kolm=sumy2-(MathPow(sumy,2.)/R_Period);
  
  R[omega]=(yks/MathSqrt(kaks*kolm));
  omega++;
  } 
//----
   return(0);
  }
//+------------------------------------------------------------------+