OPEN-SOURCE SCRIPT
Romantic Information Coefficient
This script calculates the Mutual Information (MI) between the closing prices of two assets over a defined lookback period. Mutual Information is a measure of the shared information between two time-series datasets. A higher MI indicates a stronger relationship between the two assets.
Key Features:
Only for educational purposes. Not in anyway, investment advice.
Key Features:
- Ticker Inputs: You can select the tickers for two assets. For example, SPY (S&P 500 ETF) and AAPL (Apple stock) can be compared.
- Lookback Period: Choose the number of bars to look back and calculate the Mutual Information. A larger lookback period incorporates more data, but may be less responsive to recent price changes.
- Bins for Discretization: Control the level of granularity for discretizing the asset prices. More bins result in a more detailed MI calculation but can also reduce the signal-to-noise ratio.
- Color Coded MI: The MI plot dynamically changes color to provide visual feedback on whether the relationship between the two assets is strengthening (red) or weakening (blue).
Only for educational purposes. Not in anyway, investment advice.
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.
For quick access on a chart, add this script to your favorites — learn more here.
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.
For quick access on a chart, add this script to your favorites — learn more here.
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.