Correlation Test. 0 indicates no relationship between the two variables. Spearman rank correlation is a non parametric test that is used to measure the degree of association between two variables.
The p value for the permutation test is the proportion of the r values generated in step 2 that are larger than the pearson correlation coefficient that was calculated from the original data. Here larger can mean either that the value is larger in magnitude or larger in signed value depending on whether a two sided or one sided test is. The presence of a relationship between two factors is.
The correlation coefficient is symmetric.
If tails 2 default a two tailed test is employed while if tails 1 a one tailed test is employed. You can also view correlation matrix for common asset class etfs or test assets for autocorrelation and cointegration. You also view the rolling correlation for a given number of trading days to see how the correlation between the assets has changed over time. The p value for the permutation test is the proportion of the r values generated in step 2 that are larger than the pearson correlation coefficient that was calculated from the original data.
