Studies Calculations

Covariance (Cov)

Overview

What is Covariance?

A statistical covariance measure is the measure of the relationship between two series whose values are observed over a moving time window.

Formula

where is equal to average (X, n) and similarly for . As in the variance study, if n is less than or equal to 1, covariance returns NaN.

Parameters

The price series (close values for X), the comparison symbol Y, and the period n are configurable input parameters.