Simple script to run correlation on crypto pairs

Parameters at top, it should be fairly self explanatory. start, end dates, pairs to run correlation on, and which exchange to fetch candles from.

The script will spit out a correlation matrix like this:

Here is the code. “fetch_candles” is a simple wrapper around ccxt exchange.fetch_ohlcv. The logic added on top was a sliding window technique: Most exchanges only permit fetches max ~100 candles at a time.