inputs:
IndepData( Close of data1 ),
DepData1( Close of data2 ),
DepData2( Close of data3 ),
DepData3( Close of data4 ),
DepData4( Close of data5 ),

Length( 26 ),
Length2(3),
PosCorrAlert( .7 ),
NegCorrAlert( -.7 ) ;

variables:
CorrelVal( 0 ),
CV1(0), CV2(0), CV3(0), CV4(0)
;


//CorrelVal = ( Correlation( IndepData, DepData, Length ) +
CV1= DepData1;
CV2= DepData2;
CV3= DepData3;
CV4= DepData4;


CorrelVal = ( Correlation( CV2, CV1, Length ) +
Correlation( CV3, CV2, Length ) +
Correlation( CV4, CV1, Length ) +
Correlation( CV4, CV2, Length ) +
Correlation( CV4, CV3, Length ) +
Correlation( CV1, CV3, Length ) ) / 6
;

//Plot1( jtHMA(CorrelVal, 6) , "Correl" ) ;
Plot1 (CorrelVal, "Correl");
//Plot2( PosCorrAlert, "PosCorrAlert" ) ;
//Plot3( NegCorrAlert, "NegCorrAlert" ) ;

{ Alert criteria }
if CorrelVal crosses over PosCorrAlert then
Alert( "Positive correlation alert" )
else if CorrelVal crosses under NegCorrAlert then
Alert( "Negative correlation alert" ) ;

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.