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bt.talib.CORREL not working properly

  • For the indicator bt.talib.CORREL, if I pass in two indicators with missing values in the middle, no correlation will be calculated after the first missing value, even the values are there afterward, as a demonstration(a and b are both line object, i only show them as array here):

    import numpy as np
    a = np.array([1,1,1,1     ,1,1,1,1,1])     #space on 4th element is for readability
    b = np.array([1,1,1,np.nan,1,1,1,1,1])
    >>  [nan,nan,1,nan,nan,nan,nan,nan,nan]

    The intended result should be:


    In my actual case, both a and b are about 300 days long, and the missing values is about 30 days long in the middle of one data, and I tried to calculate correlation for a 6 days window, not sure if this has to do with issue. All the value before missing ones are correct.

  • administrators

    I don't understand what your expectations are.

    • The code is broken (redacted, extracted and broken)
    • It is an external function from an external library (have you tried directly with ta-lib ... no)

    I do truly believe you are posting in the wrong forum.