# Autocorrelation Autocorrelation is an indicator on [Vela](https://vela.luxalgo.com/chart), our next-generation charting platform, written in Pine Script®. Plots the rolling autocorrelation of returns, squared or absolute returns, or detrended price at a chosen lag (lag 1 over a 200-observation window by default) with 2/sqrt(n) significance bands, a 20-lag ACF or PACF correlogram beside the last bar, and a regime dashboard. Alerts flag shifts into momentum, mean-reversion or back-to-noise conditions. - Indicator in the LuxAlgo Library, by LuxAlgo, published Jun 5, 2026. - Access: free. - Concepts: [Autocorrelation](https://www.luxalgo.com/library/concept/autocorrelation/) (primary) - Open on Vela: https://vela.luxalgo.com/chart?pineScriptCodeId=u7m46u53us5foboyh8a7yhhm - Page: https://www.luxalgo.com/library/indicator/autocorrelation/ **Autocorrelation** measures whether a market's moves persist, snap back, or carry no memory, with error bars attached. It keeps a rolling sample of the analyzed series, computes its [autocorrelation](https://www.luxalgo.com/library/concept/autocorrelation/) at the primary lag, and bands the reading at 2/sqrt(n), so a value only counts once it clears the noise floor. A correlogram beside the last bar draws one shaded column per lag (ACF, or PACF with shorter-lag influence stripped out), and the dashboard names the regime: Momentum, Mean Reversion, or Noise. ## How to Trade the Autocorrelation? - **Above the upper band**: significant follow-through, momentum-friendly conditions, alerted on the crossing. - **Below the lower band**: significant snap-back, mean-reversion-friendly conditions, likewise alerted. - **Inside the bands**: persistence indistinguishable from noise, the honest default, alerted when a regime fades back inside. - **Series picks the question**: Returns reads persistence of direction, Squared or Absolute Returns volatility clustering, Detrended Price cycles. ## Autocorrelation Settings - **Source** (default close): price series feeding the analyzed series. - **Series** (default Returns): also Squared Returns, Absolute Returns or Detrended Price. - **Detrend Length** (default 20): moving average subtracted from price in Detrended Price mode; ignored otherwise. - **Sample Window** (default 200): rolling sample size n. Longer tightens the bands but tracks regimes more slowly. - **Primary Lag** (default 1): the lag plotted and monitored by the alerts; keep it well below the window. - **Show Correlogram** (default on) with **Lags** (default 20) and **Mode** (default ACF): the per-lag profile. - **Show Dashboard** (on) with **Location** (Top Right) and **Size** (Small); **Gradient Fill** (on). ## Frequently Asked Questions ### Autocorrelation or the Hurst Exponent for regime work? The [Hurst Exponent](https://www.luxalgo.com/library/indicator/hurst-exponent/) condenses persistence into a single scaling estimate; autocorrelation resolves it lag by lag with a significance test at each. Hurst asks whether a market trends or reverts overall; the correlogram asks at which lag, and whether it beats luck. ### When should I use PACF instead of ACF? When a long-lag reading might be short-lag correlation echoing through the chain: PACF strips out the shorter lags' influence so each column shows only that lag's direct effect. The pair is the classic combination for choosing model orders. ### Why does my reading sit inside the bands most of the time? Because that is what liquid markets mostly look like: weak serial correlation is the norm, and the bands stop noise being traded as signal. Small Sample Windows widen the bands sharply, so only large effects register there. ## Related indicators - [Arbitrage Detector](https://www.luxalgo.com/library/indicator/arbitrage-detector/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/arbitrage-detector.md - [The Echo Forecast](https://www.luxalgo.com/library/indicator/the-echo-forecast/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/the-echo-forecast.md - [Intermarket Swing Projection](https://www.luxalgo.com/library/indicator/intermarket-swing-projection/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/intermarket-swing-projection.md - [Arbitrage Matrix](https://www.luxalgo.com/library/indicator/arbitrage-matrix/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/arbitrage-matrix.md - [Correlated Sine Oscillator](https://www.luxalgo.com/library/indicator/correlated-sine-oscillator/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/correlated-sine-oscillator.md - [Sector Correlation Matrix](https://www.luxalgo.com/library/indicator/sector-correlation-matrix/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/sector-correlation-matrix.md - [Correlation Clusters](https://www.luxalgo.com/library/indicator/correlation-clusters/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/correlation-clusters.md - [Historical Correlation](https://www.luxalgo.com/library/indicator/historical-correlation/) (Correlation): markdown at https://www.luxalgo.com/library/indicator/historical-correlation.md --- Source: https://www.luxalgo.com/library/indicator/autocorrelation/ (LuxAlgo Library). Free to use with attribution: https://www.luxalgo.com/library/license/