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Trailing Correlations
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The
following calculator plots the 40-day and the 120-day trailing correlations
for the last 100 trading days. To plot a correlation chart simply pick the names of two currency pairs
from Selector's drop-down menu and the chart will be automatically created
for you. There are 21 currency pairs for which you can plot correlation
charts. The total number of different charts that can be plotted is 210 (21*20/2). Not all of the 30 pairs shown on the correlation table were included in
this calculator so as to keep the file size of this webpage to a minimum.
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The two pie charts
below the trailing correlation chart show the percentage
of the total time (i.e. the number of days) that
the short-term (40 days) and the long-term (120 day) correlations stay within
each of the correlation zones, which are defined as follows:
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1. Weak:absolute value of the correlation coefficient doesn't exceed
0,3.
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2. Medium: absolute value of the
coefficient is greater than 0,3 but less than 0,5.
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3. Strong:absolute value of the coefficient is bigger than
0,5 but smaller than 0,8.
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4. High: the absolute value of the
correlation coefficient is equal to or greater than 0,8.
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Note: The fastest way to find currency pairs whose correlation is consistently high or weak is to
start from the REL correlation table. This table makes it easy to spot those currency pairs whose
short-term and long-term correlation curves converge in one of the correlation zones during the last few trading
days - which increases the chances that they spend most of their time in the same correlation zone (i.e. that
their correlation is consistent). Once
you have identified weakly or highly correlated pairs on the REL table, you
can plot their correlation charts here to see how closely their current
correlation level corresponds with the overall correlation (i.e. distribution of time spent in each of the
correlation zones) that these pairs showed during the last 100 trading days,
as is shown by the pie charts below.
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SELECTOR
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