AutoCorrelation Function: Free TradingView Indicator (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new indicator, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart, then adjust the settings with the gear icon next to its name.

Source Code

201 lines of Pine Script v4 from Pine/Pine Wizards/Balipur/Autocorrelation Function.pine, published under MPL-2.0 (file header). Keep the author's credit and licence lines when you reuse it.

Autocorrelation Function.pine

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Balipour

//@version=4
study("AutoCorrelation Function","BA🐷 ACF",precision=3,max_bars_back = 3000)
 
bgcolor(#000000c0)
 
pround(Number, DecimalPlaces) => // Precision Round Function
    p = pow(10, DecimalPlaces)
    round(abs(Number) * p) / p * sign(Number)
 
lable(Offset, yLoc, Text, Style, PanelColor) => // Show Panel
    var label PnL_Label = na
    PnL_Label := label.new(Offset, yLoc, text=Text, color=PanelColor, textcolor=color.yellow, style=Style, yloc=yloc.price, xloc=xloc.bar_index, size=size.normal)
    label.delete(PnL_Label[1])
 
lable1(offset,P, T, s, color_PnL) =>
    label PnL_Label = na
    PnL_Label := label.new(bar_index[offset], P, text = T, color=color_PnL, textcolor=#FFFFFFff, style = s, yloc=yloc.price, xloc=xloc.bar_index,size=size.normal)
    label.delete(PnL_Label[1])
 
 
autoCorrelation(Series, Lag, Period) => // Autocorrelation Function
    if barstate.islast
        mean  = 0.0
        for i=0 to Period-1
            mean := mean + Series[i]
        mean := mean / Period
        numerator = 0.0
        for i=0 to Period-Lag-1
            numerator := numerator + (Series[i] - mean) * (Series[Lag + i] - mean)
        denominator = 0.0
        for i=0 to Period-1    
            denominator := denominator + pow(Series[i] - mean, 2)
        r = numerator / denominator
    else
        na
 
src            =  input(         close,    "========= Source =========", input.source )
srcType        =  input(  "Log Return", "Alternative Source Selections", input.string , options=["Source","Log Return","Absolute Log Return","Squared Log Return"])
period         =  input(           365,                      "  Period", input.integer,  minval=51)
indicatorWidth =  input(             2,               "Indicator Width", input.integer,  minval = 1)
histogramWidth =  input(             6,           "Histogram Bar Width", input.integer,  options = [4,5,6,7,8])
showNumbers    =  input(          true,           "Show Numbered Scale", input.bool   )
showPanel      =  input(          true,                "Show Lag Value", input.bool   )
lagValue       =  input(             5,          "  Lag Value Position", input.integer, minval=1, maxval=50)
ib             =  input(          true,     "Invisible Background ⬛", input.bool)
 
float source = na
priorSrc = nz(src[1], src)
if (srcType == "Source")
    source :=         src
if (srcType == "Log Return")
    source :=     log(src / priorSrc)
if (srcType == "Absolute Log Return")
    source := abs(log(src / priorSrc))
if (srcType == "Squared Log Return")
    source := pow(log(src / priorSrc), 2)
 
//From lag 1 to 50
c1  = autoCorrelation(source,  1, period)
c2  = autoCorrelation(source,  2, period)
c3  = autoCorrelation(source,  3, period)
c4  = autoCorrelation(source,  4, period)
c5  = autoCorrelation(source,  5, period)
c6  = autoCorrelation(source,  6, period)
c7  = autoCorrelation(source,  7, period)
c8  = autoCorrelation(source,  8, period)
c9  = autoCorrelation(source,  9, period)
c10 = autoCorrelation(source, 10, period)
c11 = autoCorrelation(source, 11, period)
c12 = autoCorrelation(source, 12, period)
c13 = autoCorrelation(source, 13, period)
c14 = autoCorrelation(source, 14, period)
c15 = autoCorrelation(source, 15, period)
c16 = autoCorrelation(source, 16, period)
c17 = autoCorrelation(source, 17, period)
c18 = autoCorrelation(source, 18, period)
c19 = autoCorrelation(source, 19, period)
c20 = autoCorrelation(source, 20, period)
c21 = autoCorrelation(source, 21, period)
c22 = autoCorrelation(source, 22, period)
c23 = autoCorrelation(source, 23, period)
c24 = autoCorrelation(source, 24, period)
c25 = autoCorrelation(source, 25, period)
c26 = autoCorrelation(source, 26, period)
c27 = autoCorrelation(source, 27, period)
c28 = autoCorrelation(source, 28, period)
c29 = autoCorrelation(source, 29, period)
c30 = autoCorrelation(source, 30, period)
c31 = autoCorrelation(source, 31, period)
c32 = autoCorrelation(source, 32, period)
c33 = autoCorrelation(source, 33, period)
c34 = autoCorrelation(source, 34, period)
c35 = autoCorrelation(source, 35, period)
c36 = autoCorrelation(source, 36, period)
c37 = autoCorrelation(source, 37, period)
c38 = autoCorrelation(source, 38, period)
c39 = autoCorrelation(source, 39, period)
c40 = autoCorrelation(source, 40, period)
c41 = autoCorrelation(source, 41, period)
c42 = autoCorrelation(source, 42, period)
c43 = autoCorrelation(source, 43, period)
c44 = autoCorrelation(source, 44, period)
c45 = autoCorrelation(source, 45, period)
c46 = autoCorrelation(source, 46, period)
c47 = autoCorrelation(source, 47, period)
c48 = autoCorrelation(source, 48, period)
c49 = autoCorrelation(source, 49, period)
c50 = autoCorrelation(source, 50, period)
 
//Critical Value
CV1 = 1.96 / sqrt(period)
CV2 = -CV1
 
colorColumns = color.new(#00FFFFff,0)
plot(c1 , style=plot.style_histogram, offset=indicatorWidth*-50, title="lag 1" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c2 , style=plot.style_histogram, offset=indicatorWidth*-49, title="lag 2" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c3 , style=plot.style_histogram, offset=indicatorWidth*-48, title="lag 3" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c4 , style=plot.style_histogram, offset=indicatorWidth*-47, title="lag 4" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c5 , style=plot.style_histogram, offset=indicatorWidth*-46, title="lag 5" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c6 , style=plot.style_histogram, offset=indicatorWidth*-45, title="lag 6" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c7 , style=plot.style_histogram, offset=indicatorWidth*-44, title="lag 7" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c8 , style=plot.style_histogram, offset=indicatorWidth*-43, title="lag 8" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c9 , style=plot.style_histogram, offset=indicatorWidth*-42, title="lag 9" , color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c10, style=plot.style_histogram, offset=indicatorWidth*-41, title="lag 10", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c11, style=plot.style_histogram, offset=indicatorWidth*-40, title="lag 11", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c12, style=plot.style_histogram, offset=indicatorWidth*-39, title="lag 12", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c13, style=plot.style_histogram, offset=indicatorWidth*-38, title="lag 13", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c14, style=plot.style_histogram, offset=indicatorWidth*-37, title="lag 14", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c15, style=plot.style_histogram, offset=indicatorWidth*-36, title="lag 15", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c16, style=plot.style_histogram, offset=indicatorWidth*-35, title="lag 16", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c17, style=plot.style_histogram, offset=indicatorWidth*-34, title="lag 17", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c18, style=plot.style_histogram, offset=indicatorWidth*-33, title="lag 18", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c19, style=plot.style_histogram, offset=indicatorWidth*-32, title="lag 19", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c20, style=plot.style_histogram, offset=indicatorWidth*-31, title="lag 20", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c21, style=plot.style_histogram, offset=indicatorWidth*-30, title="lag 21", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c22, style=plot.style_histogram, offset=indicatorWidth*-29, title="lag 22", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c23, style=plot.style_histogram, offset=indicatorWidth*-28, title="lag 23", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c24, style=plot.style_histogram, offset=indicatorWidth*-27, title="lag 24", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c25, style=plot.style_histogram, offset=indicatorWidth*-26, title="lag 25", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c26, style=plot.style_histogram, offset=indicatorWidth*-25, title="lag 26", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c27, style=plot.style_histogram, offset=indicatorWidth*-24, title="lag 27", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c28, style=plot.style_histogram, offset=indicatorWidth*-23, title="lag 28", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c29, style=plot.style_histogram, offset=indicatorWidth*-22, title="lag 29", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c30, style=plot.style_histogram, offset=indicatorWidth*-21, title="lag 30", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c31, style=plot.style_histogram, offset=indicatorWidth*-20, title="lag 31", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c32, style=plot.style_histogram, offset=indicatorWidth*-19, title="lag 32", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c33, style=plot.style_histogram, offset=indicatorWidth*-18, title="lag 33", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c34, style=plot.style_histogram, offset=indicatorWidth*-17, title="lag 34", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c35, style=plot.style_histogram, offset=indicatorWidth*-16, title="lag 35", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c36, style=plot.style_histogram, offset=indicatorWidth*-15, title="lag 36", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c37, style=plot.style_histogram, offset=indicatorWidth*-14, title="lag 37", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c38, style=plot.style_histogram, offset=indicatorWidth*-13, title="lag 38", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c39, style=plot.style_histogram, offset=indicatorWidth*-12, title="lag 39", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c40, style=plot.style_histogram, offset=indicatorWidth*-11, title="lag 40", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c41, style=plot.style_histogram, offset=indicatorWidth*-10, title="lag 41", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c42, style=plot.style_histogram, offset=indicatorWidth*-9 , title="lag 42", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c43, style=plot.style_histogram, offset=indicatorWidth*-8 , title="lag 43", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c44, style=plot.style_histogram, offset=indicatorWidth*-7 , title="lag 44", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c45, style=plot.style_histogram, offset=indicatorWidth*-6 , title="lag 45", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c46, style=plot.style_histogram, offset=indicatorWidth*-5 , title="lag 46", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c47, style=plot.style_histogram, offset=indicatorWidth*-4 , title="lag 47", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c48, style=plot.style_histogram, offset=indicatorWidth*-3 , title="lag 48", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c49, style=plot.style_histogram, offset=indicatorWidth*-2 , title="lag 49", color=colorColumns, linewidth=histogramWidth, show_last=1)
plot(c50, style=plot.style_histogram, offset=indicatorWidth*-1 , title="lag 50", color=colorColumns, linewidth=histogramWidth, show_last=1)
 
colorPlotShape = color.new(#FFFFFF,20)
plotshape(showNumbers ? c5  : na, text="0" , textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-51, show_last=1)
plotshape(showNumbers ? c5  : na, text="5" , textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-46, show_last=1)
plotshape(showNumbers ? c10 : na, text="10", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-41, show_last=1)
plotshape(showNumbers ? c15 : na, text="15", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-36, show_last=1)
plotshape(showNumbers ? c20 : na, text="20", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-31, show_last=1)
plotshape(showNumbers ? c25 : na, text="25", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-26, show_last=1)
plotshape(showNumbers ? c30 : na, text="30", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-21, show_last=1)
plotshape(showNumbers ? c35 : na, text="35", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-16, show_last=1)
plotshape(showNumbers ? c40 : na, text="40", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-11, show_last=1)
plotshape(showNumbers ? c45 : na, text="45", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-6 , show_last=1)
plotshape(showNumbers ? c45 : na, text="50", textcolor=colorPlotShape, style=shape.arrowdown, color=colorPlotShape, location=location.top, size=size.tiny, offset=indicatorWidth*-1 , show_last=1)
 

lbg = ib ?  color.new(#000000,99) :  color.new(#000000,45)

if(showPanel)
    yLoc = autoCorrelation(source, lagValue, period)
    Text = "Lag" + tostring(lagValue) + ":\n" + tostring(pround(yLoc, 3))
    style = autoCorrelation(source, lagValue, period) > 0 ? label.style_label_down : label.style_label_up
    offset = bar_index - (51 - lagValue) * indicatorWidth
    lable(offset, yLoc,Text, style, lbg)

 
labelc = color.new(#000000, 45)
lable1(0,CV1, "Positive Critical Value: " + tostring(pround(CV1,3)) , label.style_label_left, labelc)
lable1(0,CV2, "Negative Critical Value: " + tostring(pround(CV2,3)) , label.style_label_left, labelc)
 
plot( 0.0, color=#FFFFFF80, trackprice=true, show_last=1)
line1 = line.new( bar_index-1, CV1, bar_index, CV1, extend=extend.left, width=1, color=color.new(#FFFFFF80,50),style = line.style_dashed)
line2 = line.new( bar_index-1, CV2, bar_index, CV2, extend=extend.left, width=1, color=color.new(#FFFFFF80,50),style = line.style_dashed)
line.delete(line1[1])
line.delete(line2[1])

Overview

AutoCorrelation Function computes correlation values over a user-specified lookback period using raw prices, log returns, absolute log returns, or squared log returns. Plotted in a separate pane, the script displays correlation coefficients alongside scale numbers and lag labels. Key settings configure the source calculation type, sample period length, and visual bar widths. Because computation executes exclusively on the final bar, historical bars do not show rolling historical values, offering a static statistical snapshot without trade signals.

Autocorrelation calculation across fifty lags
Alternative source selection modes
Configurable sample period and bar widths
Numbered scale and lag value labels

Details

Published by

Anderson-ALGO on GitHub

Code credit

Balipour, as written in the script's header

Type

Indicator, Pine Script v4

Draws

Separate pane below the chart

Markets

Any symbol

Timeframes

Any timeframe

Risk Notes

No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.

File

Pine/Pine Wizards/Balipur/Autocorrelation Function.pine

Repository

github.com/Anderson-ALGO/Anderson-ALGO.github.io. See its other scripts in the library

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
========= Source =========	`source`	`close`	`src`
Alternative Source Selections	`string`	`Log Return`	`srcType`
Period	`int`	`365`	`period`
Indicator Width	`int`	`2`	`indicatorWidth`
Histogram Bar Width	`int`	`6`	`histogramWidth`
Show Numbered Scale	`bool`	`true`	`showNumbers`
Show Lag Value	`bool`	`true`	`showPanel`
Lag Value Position	`int`	`5`	`lagValue`
Invisible Background ⬛	`bool`	`true`	`ib`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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