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Thread: Correlation of Pairs

  1. #1
    I tried a search but must not be asking the questions.

    Some pairs operate roughly reverse : Eur/Usd vs Usd/Chf

    Others operate roughly similar . What is the connection between Eur/Usd and Usd/Jpy

    Thanks.

  2. #2
    Lou,

    check out this site: http://www.dailyfx.com/

    They have fx correlations available and are updated yearly.

  3. #3
    Quote Originally Posted by ;
    I tried a search but shouldn't be asking the right questions.

    Some pairs operate roughly opposite : Eur/Usd vs Usd/Chf

    Others operate roughly equivalent . What is the relationship between Eur/Usd and Usd/Jpy

    Thanks.

    Lou
    lou, I think you are referring to which side of the / USD is on. So pairs together with USD on the left side (such as USDJPY, USDCHF) will operate roughly similar as the USD is on the same side.

    So that the relationship between EURUSD and USDJPY is roughly opposite. If EURUSD is going up, this means that the dollar is weakening, whereas when the USDJPY is it up means the dollar is strengthening. Is that what you're asking? Or are you inquiring about the relationship between markets?

  4. #4
    I believe Lou is inquiring about the strength of correlation between the monies. Or to put it differently, if the EUR/USD is shing upward, what's the probability or how likely the USD/CHF will move down following it?? And how likely will the USD/JPY will move up in such a case?? So on...

    From my poor observations, both EUR/USD and USD/CHF are moving in opposite directions 80-85% of their time. .

    GBP/USD and EUR/USD are moving the same way 60-65% of their time. .

    EUR/USD and USD/JPY are moving in opposite directions 40-50% of their time. .

    EUR/USD and USD/CAD are moving in opposite directions 20-25% of their time. .

    EUR/USD and AUD/USD are moving the same direction 30-35% of their time. .


    Of course, all were related to the EUR/USD motion, you could base your observations on another pair, for example, see how the EUR/USD follow the GBP/USD or view how the GBP/USD follow the USD/JPY and so forth...


    Thanks,

    Nader

  5. #5
    Thank you, everybody. Just what I was looking for.

    I particularly liked the %

  6. #6
    I exchange Cable.

    On a single screen I have a 5 minute Cable graph on the right side. The 50 percent that were abandoned is split with verticals of CHF, Yen and Euro.

    I watch the other 3 carefully and use as a leading indior / filter, ideal B4 I am about to enter or exit a trade.

    Yesterday morning was a great example. There was a great short on Cable @ 1.7360 place, although the other 3 all broke support or resistance, with throw candles, against my commerce. Cable followed. I ended up carrying the break out (the other direction) to get a large score.

    When I am about to enter a Cable commerce and possibly Yen or CHF moves more than 5/6 pips againt my trade, at the exact momment, I'll hold off for a couple minutes, delaying the entry decision.

    Check out the attached article, which I presume is among the most important I have read this year. Tried to find a thread going on it B4 without response.
    https://forexintuitive.com/attachments/1518079785.pdf

  7. #7
    Quote Originally Posted by ;
    I tried a search but shouldn't be asking the proper questions.

    Some pairs operate roughly opposite : Eur/Usd vs Usd/Chf

    Others operate roughly similar . What is the relationship between Eur/Usd and Usd/Jpy

    Thanks.

    Lou
    Hi Lou,
    This site has a graph that updates daily and even hourly at 5, 20 and 100 intervals.

    http://www.mataf.net/en/analysis-correlation.htm

    HTH

  8. #8
    Hi, I believe mataf and dailyfx are fine to get a fast overview of correlations although I would advise doing the following if you are really considering the co-behaviour of e.rates:

    * Get end of day prices going back a few years (you can acquire free data from many web-sites).
    * Calculate the correlations for the applicable periods, possibly 30 day, 90 day, and 1 year.
    * This brings one to the exact same stage as dailyfx and mataf tables.
    * Now drag the significance formula down to figure out the rolling correlation (ie see how the 30 day correlation, for instance, has shifted over time). This is important because currency correlations can be unstable for many prices. You can chart the correlations over time to determine precisely reliable or how volatile those correlations are. I am surprised mataf and dailyfx do not provide those graphs.
    * The last thing I'd look at doing is to look at correlations of returns (% change( or log yields) versus just looking at the absolute levels (again, that is exactly what mataf and dailyfx perform). This could be significant because currencies trend collectively (eg cable and EUR/USD) however if you are a short-term trader you may be more interested in inquiring especially 'if EUR/USD yields 1% now, what will wire return?'

    (if you're interested I wrote a piece on the correlation between http://.blogspot.com/2005/12/interes...le-eurusd.html within my blog, but its slightly outdated now, and behaviours may have shifted.)

    : )

  9. #9
    Continue reading this http://www.investopedia.com/articles.../05/051905.asp by Kathy Lien on the way best to do this using a spreadsheet. Should you use MT4 then change the view to save the chart for a text file and then import into a ss.

  10. #10
    Quote Originally Posted by ;
    In my bad observations, EUR/USD and USD/CHF are moving in opposite directions 80-85% of their time. .
    Err....why waste your time together with observations when you can merely look at the EURCHF chart. That will tell you exactly what the correlation is. Same with currency pairs. . .if you want to know the significance with all the EURUSD and USDJPY, simply look at the EURJPY etc. .

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