I got an email back from Brett with this explaining how to do in Excel:
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You have each ETF in a separate column of 15 minute closing values and then you calculate the 15-minute price change for the four ETFs (A,B,C,D) in a next set of columns. You then correlate the price changes for each ETF with every other ETF (A with B; A with C; A with D; B with C; B with D; C with D) over a period of one day (27 15-minute periods). The final sector correlation is simply the average of the six individual correlations and is updated every fifteen minutes. |
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Ummm... ok.....
Thanks to thrunner for the TS code! I will try in MC tomorrow.
I would also like to get the Excel sheet working as well for anyone that can help figure this '5 minute' project out...
THANKS