Hi, I'm new to Quantopian and python, I would like to calculate the correlation coefficient for two stock prices every 10 days, like a correlation moving average to keep track of the fluctuation in correlation between two stocks with in a given time interval. Obviously there's the correlation function already built in but that would just give me the overall correlation between two stocks. Has anybody done anything similar? Or encountered a similar problem?
How about taking a rolling correlation and then averaging those results? Take a look at http://pandas.pydata.org/pandas-docs/stable/computation.html#window-functions
From a little further down the page
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@James thanks for the feedback, I'm going to put some code together and post it, I think I figured out a way of tackling it
So I was able to put together an algorithm for calculating the correlation of 2 stocks every 10 days.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.