autocorrelation

//@version=4
study("AutoCorrelation",precision=3)
len=input(60)
lag=input(1)
src=input(close)
m=input(30,"ma")
S=input(false,"Spearman Correlation")
Detrend = input(title="Detrend", type=input.string, defval="Difference", options=["Difference","Log Return"])
pm = input(false,"plot ma")

//Difference
d=src-src[1]
d1=percentrank(d,len)
d2=percentrank(d[lag],len)
//cc
c1=S?correlation(d1,d2,len):correlation(d,d[lag],len)

//Log
l=log(src[0]/src[1])
l1=percentrank(l,len)
l2=percentrank(l[lag],len)
//cc
c2=S?correlation(l1,l2,len): correlation(l,l[lag],len)


Ac = Detrend == "Difference" ? c1 : Detrend == "Log Return" ? c2: na
ma=sma(Ac,m)

CV1 = 1.96/sqrt(len)
CV2 = -(CV1)


plot(Ac,transp=0,color=Ac>0?color.blue:color.red,style=plot.style_columns)
plot(pm?ma:na,color=color.green,transp=0,linewidth=2)
hline(0)
hline(CV1)
hline(CV2)