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I want to build a correlation moving average

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?

4 responses

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

http://pandas.pydata.org/pandas-docs/stable/computation.html#computing-rolling-pairwise-covariances-and-correlations

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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.

Clone Algorithm
84
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5701d306bc1c4c0f44b5e903
There was a runtime error.

Here's an actual correlation moving average that I was able to create. Feel free to send any feedback on my code pertaining to improvements or corrections

Clone Algorithm
84
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 57028ee417d4a90e0e70be40
There was a runtime error.