Altcoin Correlation Meter

// @version=4
strategy("Altcoin correlation Meter", overlay=false, pyramiding=0, default_qty_type= strategy.percent_of_equity, default_qty_value = 100, calc_on_order_fills=false, slippage=0,commission_type=strategy.commission.percent,commission_value=0.04)
// Get user input 
resolution_sec = input(title="resolution of reference pair (in min, hr or day)", type=input.string, defval="120")
lookback    = input(title="Lookback", type=input.integer, defval=5) 
lengthHMA    = input(title="length of Hull MA, for opening long/short", type=input.integer, defval=5) 
source_type      = input(title="Source", type=input.source, defval=close)
reference_pair = security(syminfo.tickerid, resolution=resolution_sec, expression=source_type)
reference_TOTAL   = input(title="Reference Market", type=input.string, defval="CRYPTOCAP:TOTAL2")  //"binance:ethusdtperp"   //"CRYPTOCAP:TOTAL"
correlationclose = input(title="if correlation above this number, close long/short", type=input.float, defval=0.95) 
TPpercentage = input(title="minimum percentage in profit to close long/short", type=input.float, defval=1) 
// Get % change of reference data source
referenceData_TOTAL = security(symbol=reference_TOTAL, resolution=resolution_sec, expression=source_type)
referenceChange = ((referenceData_TOTAL - referenceData_TOTAL[1]) / referenceData_TOTAL[1]) * 100
// Get % change of current market
currentData = reference_pair
currentChange = ((currentData - currentData[1]) / currentData[1]) * 100
// Declare arrays
var referenceArray = array.new_float(lookback)
var currentArray = array.new_float(lookback)
// Shift (remove) the last (first entered) value from our arrays (FIFO)
array.shift(referenceArray)
array.shift(currentArray)
// Add the current values to our arrays
array.push(referenceArray, referenceChange)
array.push(currentArray, currentChange)
hma_REF = hma(referenceData_TOTAL,lengthHMA)
hma_pair = hma(reference_pair,lengthHMA)
// Determine & plot our covariance relationship
covariance = array.covariance(currentArray, referenceArray)
plot(covariance, color=color.purple, style=plot.style_area, transp=0, display=display.none, title="Covariance")
// Plot our reference data
plot(referenceChange, color=color.red, style=plot.style_columns, transp=10, display=display.none, title="Reference Market")
plot(currentChange, color=color.blue, style=plot.style_histogram, linewidth=4, display=display.none, title="Current Market")
// Determine the standard deviation of our arrays
referenceDev = array.stdev(referenceArray)
currentDev = array.stdev(currentArray)
correlation = covariance / (referenceDev * currentDev)
correlation1 = correlation[1]
plot(correlation, color=color.yellow, linewidth=2, style=plot.style_stepline, title="Correlation Strength")
plot(correlation1, color=color.green, linewidth=2, style=plot.style_stepline, title="Correlation1 Strength")
// Plot reference lines
hline(price=0.9, color=color.red)
hline(price=0.5, color=color.white)
hline(price=-0.5, color=color.white)
hline(price=-0.9, color=color.red)
hline(price=0.0)
long = hma_pair > hma_pair[2] and correlation<0
short = hma_pair < hma_pair[2] and correlation<0 //crossover(correlation, correlation1) and close>open and close>close[1] and correlation<0.9
closelong = correlation>correlationclose
closeshort = correlation>correlationclose 
TPlong = (100-TPpercentage)/100
TPshort =(100+TPpercentage)/100 
if long
    strategy.entry("long", strategy.long)
if short
    strategy.entry("short", strategy.short)
    
if closelong and close*TPlong>strategy.position_avg_price
    strategy.close("long")
if closeshort and close*TPshort<strategy.position_avg_price
    strategy.close("short")
Expand (75 lines)