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:
Test your algorithm, fix bugs:
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! :)