The power of open source- a.k.a. "Stupid me".
To phrase it like a well-know commercial back in the 2000s:
Research about correlation, their advantages and disadvantages:
5 hrs
Implement your own correlation algorithm:
5 hrs
Test your algorithm, fix bugs:
5 hrs
Be proud what an incredible genious you are:
5 mins
priceless!
*Sigh*
Lesson learned: Before I try to be a genious again, I'll just freakin' google it for 5 minutes. On the other hand, while implementing it for myself, I learned a lot again (and maybe I can reuse some of the stuff as for example Kendall's Tau is not present in this library).
Getting up, wiping my mouth, back to work! :)
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