OPEN-SOURCE SCRIPT
Correlation Stability
3 CORRELATION STABILITY INDICATOR
This indicator is shown as a table on the main chart.
WHAT IT DOES It evaluates how stable the statistical relationship between two assets is over time using correlation analysis.
HOW IT WORKS
• Correlation between two assets is calculated over rolling windows
• The test is performed periodically
• Each window is marked as pass or fail depending on correlation strength
• If more than half of the tested windows pass, the pair is considered stable
The result is displayed as a simple table showing the current status of the pair.
HOW TO USE This indicator is a filter, not a trading signal.
It helps the trader:
• Select suitable pairs for statistical arbitrage
• Avoid trading pairs where the relationship has broken down
• Improve the quality of mean-reversion signals
RECOMMENDED TO USE WITH
• Ornstein–Uhlenbeck Z-score for signal generation
• OU Signals Overlay for trade visualization
TRIGONUM STATISTICAL ARBITRAGE INDICATORS
This is a series of indicators developed by Trigonum for statistical arbitrage and pairs trading.
The core idea of the series is to trade the relationship between two assets, not the direction of a single market. All signals are based on mean reversion of a spread between two instruments and are intended to be used with hedged positions (long one asset and short the other).
The series consists of three indicators, each serving a different purpose.
This indicator is shown as a table on the main chart.
WHAT IT DOES It evaluates how stable the statistical relationship between two assets is over time using correlation analysis.
HOW IT WORKS
• Correlation between two assets is calculated over rolling windows
• The test is performed periodically
• Each window is marked as pass or fail depending on correlation strength
• If more than half of the tested windows pass, the pair is considered stable
The result is displayed as a simple table showing the current status of the pair.
HOW TO USE This indicator is a filter, not a trading signal.
It helps the trader:
• Select suitable pairs for statistical arbitrage
• Avoid trading pairs where the relationship has broken down
• Improve the quality of mean-reversion signals
RECOMMENDED TO USE WITH
• Ornstein–Uhlenbeck Z-score for signal generation
• OU Signals Overlay for trade visualization
TRIGONUM STATISTICAL ARBITRAGE INDICATORS
This is a series of indicators developed by Trigonum for statistical arbitrage and pairs trading.
The core idea of the series is to trade the relationship between two assets, not the direction of a single market. All signals are based on mean reversion of a spread between two instruments and are intended to be used with hedged positions (long one asset and short the other).
The series consists of three indicators, each serving a different purpose.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.