Kendall Rank Correlation Coefficient (alt)

This is a non-parametric correlation statistical test, which is less sensitive to magnitude and more to direction, hence why some people call this a "concordance test".

This indicator was originally created by Alex Orekhov (everget), if you like this one, please show the original author some love:
This version is extended by tartigradia (2022) to make it more readily useable:
* Update to pinescript v5
* Default compare to current symbol (instead of only fixed symbols)
* Add 1.0, 0.0 and -1.0 correlation levels lines.

This indicator plots both the Kendall correlation in orange, and the more classical parametric Pearson correlation in purple for comparison. Either can be disabled in the Style tab.