add builtins

robswc · Mar 23, 2023 · a6c6b87 · a6c6b87
1 parent 165462a
commit a6c6b87
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diff --git a/app/components/strategy/builtins/ta/__init__.py b/app/components/strategy/builtins/ta/__init__.py
@@ -1,2 +1,3 @@
 from components.strategy.builtins.ta.sma import *
+from components.strategy.builtins.ta.correlation import *
 from components.strategy.builtins.ta.logic import Logic as logic
diff --git a/app/components/strategy/builtins/ta/correlation.py b/app/components/strategy/builtins/ta/correlation.py
@@ -0,0 +1,12 @@
+import numpy as np
+
+from components.strategy import Series
+
+
+def correlation_coefficient(x: Series, y: Series, period: int) -> Series:
+    """ Calculate the correlation coefficient between two lists """
+    x = np.array(x)
+    y = np.array(y)
+
+    # Calculate the correlation coefficient
+    return Series(np.corrcoef(x, y)[0, 1])