Futures Correlation Indicator for ThinkorSwim


Staff member
This indicator plot a lower study that shows level of correlation between different futures market such as /ES, /NQ, and /YM. You can adjust these futures indexes based on your liking.


thinkScript Code

# Correlate with others futures
declare lower;

input length    = 10;
input sym1      = "/ES";
input sym2      = "/YM";
input sym3      = "/NQ";
input sym4      = "/TF";
input sym5      = "/CL";
input sym6      = "/GC";
input sym7      = "/DX";
input sym8      = "/6E";

plot Symbol_1   = correlation(close, close( sym1 ), length);
plot Symbol_2 = correlation(close, close( sym2 ), length);
plot Symbol_3   = correlation(close, close( sym3 ), length);
plot Symbol_4   = correlation(close, close( sym4 ), length);
plot Symbol_5   = correlation(close, close( sym5 ), length);
plot Symbol_6   = correlation(close, close( sym6 ), length);
plot Symbol_7   = correlation(close,! close( sym7 ), length);
plot Symbol_8   = correlation(close, close( sym8 ), length);

Symbol_1.DefineColor( "sym1", GetColor( 0 ) );
Symbol_1.AssignValueColor( Symbol_1.Color( "sym1" ) );
Symbol_2.DefineColor( "sym2", GetColor( 1 ) );
Symbol_2.AssignValueColor( Symbol_2.Color( "sym2" ) );
Symbol_3.DefineColor( "sym3", GetColor( 2 ) );
Symbol_3.AssignValueColor( Symbol_3.Color( "sym3" ) );
Symbol_4.DefineColor( "sym4", GetColor( 3 ) );
Symbol_4.AssignValueColor( Symbol_4.Color( "sym4" ) );
Symbol_5.DefineColor( "sym5", GetColor( 4 ) );
Symbol_5.AssignValueColor( Symbol_5.Color( "sym5" ) );
Symbol_6.DefineColor( "sym6", GetColor( 5 ) );
Symbol_6.AssignValueColor( Symbol_6.Color( "sym6" ) );
Symbol_7.DefineColor( "sym7", GetColor( 6 ) );
Symbol_7.AssignValueColor( Symbol_7.Color( "sym7" ) );
Symbol_8.DefineColor( "sym8", GetColor( 7 ) );
Symbol_8.AssignValueColor( Symbol_8.Color( "sym8" ) );

AddLabel( yes, "Correlate " + GetSymbol() + " with:", GetColor( 8 ) );
AddLabel( yes, sym1, Symbol_1.Color( "sym1" ) );
AddLabel( yes, sym2, Symbol_2.Color( "sym2" ) );
AddLabel( yes, sym3, Symbol_3.Color( "sym3" ) );
AddLabel( yes, sym4, Symbol_4.Color( "sym4" ) );
AddLabel( yes, sym5, Symbol_5.Color( "sym5" ) );
AddLabel( yes, sym6, Symbol_6.Color( "sym6" ) );
AddLabel( yes, sym7, Symbol_7.Color( "sym7" ) );
AddLabel( yes, sym8, Symbol_8.Color( "sym8" ) );

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