OPEN-SOURCE SCRIPT
Implied Correlation Term Structure
I built this as a macro indicator that may help signal corrections when the spread between 1 month implied correlation and 3 month implied correlation moves between negative and positive levels. I used a rolling percentile rather than absolute levels in the table as implied correlation evolves over time.
While not meant to be used on its own, I think it could be useful as part of a macro regime to help determine the mean reverting nature of certain metrics such as implied correlation.
While not meant to be used on its own, I think it could be useful as part of a macro regime to help determine the mean reverting nature of certain metrics such as implied correlation.
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开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。