chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Correlation Indicator is a valuable tool in technical analysis, designed to quantify the degree of
+    /// relationship between the price movements of a target security (e.g., a stock or ETF) and a reference
+    /// market index. It measures how closely the target’s price changes are aligned with the fluctuations of
+    /// the index over a specific period of time, providing insights into the target’s susceptibility to market
+    /// movements.
+    /// A positive correlation indicates that the target tends to move in the same direction as the market index,
+    /// while a negative correlation suggests an inverse relationship. A correlation close to 0 implies a weak or
+    /// no linear relationship.
+    /// Commonly, the SPX index is employed as the benchmark for the overall market when calculating correlation,
+    /// ensuring a consistent and reliable reference point. This helps traders and investors make informed decisions
+    /// regarding the risk and behavior of the target security in relation to market trends.
+    ///
+    /// The indicator only updates when both assets have a price for a time step. When a bar is missing for one of the assets,
+    /// the indicator value fills forward to improve the accuracy of the indicator.
+    /// </summary>
+    public class Correlation : DualSymbolIndicator<IBaseDataBar>
+    {
+        /// <summary>
+        /// Correlation type
+        /// </summary>
+        private readonly CorrelationType _correlationType;
+
+        /// <summary>
+        /// Gets a flag indicating when the indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => TargetDataPoints.IsReady && ReferenceDataPoints.IsReady;
+
+        /// <summary>
+        /// Creates a new Correlation indicator with the specified name, target, reference,
+        /// and period values
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        /// <param name="correlationType">Correlation type</param>
+        public Correlation(string name, Symbol targetSymbol, Symbol referenceSymbol, int period, CorrelationType correlationType = CorrelationType.Pearson)
+            : base(name, targetSymbol, referenceSymbol, period)
+        {
+            // Assert the period is greater than two, otherwise the correlation can not be computed
+            if (period < 2)
+            {
+                throw new ArgumentException($"Period parameter for Correlation indicator must be greater than 2 but was {period}");
+            }
+            _correlationType = correlationType;
+        }
+
+        /// <summary>
+        /// Creates a new Correlation indicator with the specified target, reference,
+        /// and period values
+        /// </summary>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        /// <param name="correlationType">Correlation type</param>
+        public Correlation(Symbol targetSymbol, Symbol referenceSymbol, int period, CorrelationType correlationType = CorrelationType.Pearson)
+            : this($"Correlation({period})", targetSymbol, referenceSymbol, period, correlationType)
+        {
+        }
+
+        /// <summary>
+        /// Computes the correlation value usuing symbols values
+        /// correlation values assing into _correlation property
+        /// </summary>
+        protected override decimal ComputeIndicator()
+        {
+            var targetDataPoints = TargetDataPoints.Select(x => (double)x.Close);
+            var referenceDataPoints = ReferenceDataPoints.Select(x => (double)x.Close);
+            var newCorrelation = 0d;
+            if (_correlationType == CorrelationType.Pearson)
+            {
+                newCorrelation = MathNet.Numerics.Statistics.Correlation.Pearson(targetDataPoints, referenceDataPoints);
+            }
+            if (_correlationType == CorrelationType.Spearman)
+            {
+                newCorrelation = MathNet.Numerics.Statistics.Correlation.Spearman(targetDataPoints, referenceDataPoints);
+            }
+            if (newCorrelation.IsNaNOrZero())
+            {
+                newCorrelation = 0;
+            }
+            return Extensions.SafeDecimalCast(newCorrelation);
+        }
+    }
+}