Quote:
Originally Posted by Perigon I'm trying to measure the correlation between markets, but i'm not sure of what value i'm supposed to measure.. is the percentage change since the last bar, or what should I use?
/Johan 
You probably mean you are trying to measure the crosscorrelation between two markets. I think that the term "correlation" refers to a constant in linear approximations of the form y=ax+b or it is a measure of linear dependence of two variables x and y.
Keep in mind that correlation can be zero but two variables can be dependent, except in very special cases.
Cheers   Alex
__________________
Buy high, sell higher  Sell low, buy lower
