Корреляция На Форексе Онлайн

A foreign exchange correlation is the connection between two currency pairs. There is a positive correlation when two pairs move in the same direction, a negative correlation when they move in opposite directions, and no correlation if the pairs move randomly with no detectable relationship. A negative correlation can also be called an inverse correlation.

Currency correlation is important for traders to understand because it can have a direct impact on forex trading​ results, often without the trader’s awareness.

As an example, assume that a trader buys two different currency pairs that are negatively correlated. The gains in one may be offset by losses in the other, which is often used as a hedging strategy. Meanwhile, buying two correlated pairs may double the risk and profit potential, since both trades will result in a loss or profit. They are not fully independent since the pairs move in the same direction.

A correlation coefficient represents how strong or weak a correlation is between two forex pairs. Correlation coefficients are expressed in values and can range from to , or -1 to 1, with the decimal representing the coefficient.

Anything in the negative range of means that the pairs move nearly identically but in opposite directions, whereas, if it is above , it means that the pairs move nearly identically in the same direction. “Nearly identically” is an important distinction to make because correlation only looks at direction but not magnitude. For example, one pair may move up pips (percentages in point)​ while another moves down 70 pips. Both pairs may have a very high inverse correlation, even though the size of the movement is different.

If a reading is below and above 70, it is considered to have strong correlation, as the movements of one are largely reflected in movements of the other. Readings anywhere between and 70, on the other hand, mean that the pairs are less correlated. With forex correlation coefficients near the zero mark, both pairs are showing little or no detectable relationship with one another.

The following table shows the correlation between some of the most traded currency pairs​​ across the world. You can compare each currency on the y-axis to those on the x-axis to see how they are correlated to one another. For instance, the correlation between the EUR/USD​ and GBP/USD​ is 77, which is quite high.

Correlation allows traders to hedge positions by taking a second trade that moves in the opposite direction to the first position. A currency hedge is achieved when gains from one pair are offset by losses from another, or vice versa. This may be useful if a trader doesn’t want to exit a position but wants to offset or reduce their loss while the pair pulls back.

For example, the EUR/USD and AUD/USD share a strong positive correlation in the table above at Buying the EUR/USD and selling the AUD/USD creates a partial hedge. It is partial because the correlation is only 75 and correlation doesn’t account for magnitude of price movements, only direction.

In the case of the GBP/USD and EUR/GBP, there is a negative correlation. Therefore, buying or selling both creates a hedge. Buying the GBP/USD will make money if the GBP/USD goes up, but those gains will be offset by the long position on EUR/GBP falling because of the negative correlation.

Read more about forex hedging strategies​​.

A pairs trade involves looking for two currency pairs that share a strong historical correlation, such as 80 or higher, and taking both long and short positions on the assets. A trader can buy the currency that is moving down and sell the currency pair that is moving up. The idea of this is that they will eventually start moving together again, given their long history of a high correlation. If this occurs, a profit may be realised.

However, there is a danger that the pairs don’t go back to being highly correlated. Therefore, some traders may place a stop-loss order on each position to control the loss. There is also a danger that the loss on one trade isn’t offset by a gain on the other, resulting in a loss, even if the pairs move back to their previous correlation. Ideally, the bought pair would move up and the sold position move down as the pairs mean-revert​, which could result in a profit on both trades.

When using any currency correlation strategy, and any strategy, position sizing is a key component to risk management. Based on where the stop loss is placed, many traders opt to risk a small percentage of their account, for example, if the stop loss is reached. For instance, if the stop loss is 30 pips in the EUR/USD (with a USD account), taking a micro lot position means there is a risk of $3 on the trade (30 x $). For that $3 of risk to be equal to only 1% of the account, the trader would need to have at least $ in the account. This way, the risk on the trade and risk to the account is controlled.

Commodities​ or raw materials also have a correlation with each other as well as with currencies. In the table below, the data shows that during this timeframe, gold (XAU/USD) had little correlation with other major currencies. However, it does indicate that it shared a strong positive correlation of 81 with silver (XAG/USD). For someone trading gold and holding positions in other currency pairs, this type of analysis is important.

It is possible to make money trading, but it comes with many risks and extra costs that must be taken into consideration. Consult our section on ‘what else do you need to know’ before opening a potentially risky trade. After all, not all positions will end in profit.

To see whether you could make money from spread betting or trading CFDs, you could try out our risk-free demo account, which allows you to practise first using £10, of virtual funds. Once you feel confident enough to enter the live markets using real funds, you can then switch to a live account.

Currency pairs are non-correlated when they move independent of each other. This can happen when the currencies involved in each pair are different, or when the currencies involved have different economies.

For example, the EUR/USD and GBP/USD both contain the US dollar, and the Eurozone and Great Britain are in close proximity with closely tied economies. Therefore, they tend to move together in the same direction, although this is not always the case, as we will see further on in the article. Meanwhile, the EUR/JPY and AUD/USD have no matching currencies. In fact, the Eurozone, Japan, Australia and the US all have distinct and separate economies. Therefore, the correlation between these pairs tends to be lower.

There are many ways that correlations can be used as part of a forex trading strategy, such as through hedging, pairs trading and commodity correlations. To get started, follow the steps below.

Trading on the financial markets can be a daunting process, especially for a beginner, so it may be a good idea to brush up your knowledge on the following things beforehand:

While a number of currency correlation strategies have been discussed in this article, using them on a trading system means defining exact entry and exit points, both for winning and losing trades. Next Generation is an award-winning web trading platform​​​​* that allows you to view and trade forex correlations in real time.

On our platform, any currency can be dragged from the product list onto an existing chart of any currency pair to show both currency pairs on the same chart. The following chart compares the EUR/USD (candlestick) with the GBP/USD (line). These pairs typically move together, but in this example, they moved in opposite directions. This set up is a potential mean-reversion trade.

There is no default currency correlation indicator on the MT4 trading platform; however, it does have a vast library of downloadable indicators in the Market and Code Base sections of the platform. These are often created and shared by third party users, so some indicators may be better than others. Some are also free, while others come at a cost. You can filter indicators by name, so typing in “correlation” in the Code Base section will often find relevant add-ons for the system. These can be installed to the MT4 platform easily.

Open an MT4 account now to get started.

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To be an effective trader, understanding your entire portfolio's sensitivity to market volatility is important. This is particularly so when trading forex. Because currencies are priced in pairs, no single pair trades completely independent of the others. Once you are aware of these correlations and how they change, you can use them to control your overall portfolio's exposure.

Defining Correlation

The reason for the interdependence of currency pairs is easy to see: If you are trading the British pound against the Japanese yen (GBP/JPY pair), for example, you are actually trading a derivative of the GBP/USD and USD/JPY pairs; therefore, GBP/JPY must be somewhat correlated to one if not both of these other currency pairs. However, the interdependence among currencies stems from more than the simple fact that they are in pairs. While some currency pairs will move in tandem, other currency pairs may move in opposite directions, which is the result of more complex forces.

Correlation, in the financial world, is the statistical measure of the relationship between two securities. The correlation coefficient ranges between and + A correlation of +1 implies that the two currency pairs will move in the same direction % of the time. A correlation of -1 implies the two currency pairs will move in the opposite direction % of the time. A correlation of zero implies that the relationship between the currency pairs is completely random.

The Formula for Correlation Is

​r=∑(X−X)2​(Y−Y)2​∑(X−X)(Y−Y)​where:r=the correlation coefficientX=the average of observations of variable XY=the average of observations of variable Y​

Reading the Correlation Table

With this knowledge of correlations in mind, let's look at the following tables, each showing correlations between the major currency pairs (based on actual trading in the forex markets recently).

The upper table above shows that over one month the EUR/USD and GBP/USD had a very strong positive correlation of This implies that when the EUR/USD rallies, the GBP/USD has also rallied 95% of the time. Over the past six months, the correlation was weaker (), but in the long run (one year) the two currency pairs still have a strong correlation.

By contrast, the EUR/USD and USD/CHF had a near-perfect negative correlation of This implies that % of the time, when the EUR/USD rallied, USD/CHF sold off. This relationship even holds true over longer periods as the correlation figures remain relatively stable.

Yet correlations do not always remain stable. Take USD/CAD and USD/CHF, for example. With a coefficient of , they had a strong positive correlation over the past year, but the relationship deteriorated significantly in the previous month, down to This could be due to a number of reasons that cause a sharp reaction for certain national currencies in the short term, such as a rally in oil prices (which particularly impacts the Canadian and U.S. economies) or the hawkishness of the Bank of Canada.

Correlations Do Change

It is clear then that correlations do change, which makes following the shift in correlations even more important. Sentiment and global economic factors are very dynamic and can even change on a daily basis. Strong correlations today might not be in line with the longer-term correlation between two currency pairs. That is why taking a look at the six-month trailing correlation is also very important. This provides a clearer perspective on the average six-month relationship between the two currency pairs, which tends to be more accurate. Correlations change for a variety of reasons, the most common of which include diverging monetary policies, a certain currency pair's sensitivity to commodity prices, as well as unique economic and political factors.

Calculating Correlations Yourself

The best way to keep current on the direction and strength of your correlation pairings is to calculate them yourself. This may sound difficult, but it's actually quite simple. Software helps quickly compute correlations for a large number of inputs.

To calculate a simple correlation, just use a spreadsheet program, like Microsoft Excel. Many charting packages (even some free ones) allow you to download historical daily currency prices, which you can then transport into Excel. In Excel, just use the correlation function, which is =CORREL(range 1, range 2). The one-year, six-, three-, and one-month trailing readings give the most comprehensive view of the similarities and differences in correlation over time; however, you can decide for yourself which or how many of these readings you want to analyze.

Here is the correlation-calculation process reviewed step by step:

1. Get the pricing data for your two currency pairs; say, GBP/USD and USD/JPY.
2. Make two individual columns, each labeled with one of these pairs. Then fill in the columns with the past daily prices that occurred for each pair over the time period you are analyzing.
3. At the bottom of one of the columns, in an empty slot, type in =CORREL(.
4. Highlight all of the data in one of the pricing columns; you should get a range of cells in the formula box.
5. Type in comma to denote a new cell.
6. Repeat steps for the other currency.
7. Close the formula so that it looks like =CORREL(A1:A50,B1:B50).
8. The number that is produced represents the correlation between the two currency pairs.

Even though correlations change over time, it is not necessary to update your numbers every day; updating once every few weeks or at the very least once a month is generally a good idea.

How to Use Correlations to Trade Forex

Now that you know how to calculate correlations, it is time to go over how to use them to your advantage.

First, they can help you avoid entering two positions that cancel each other out, For instance, by knowing that EUR/USD and USD/CHF move in opposite directions nearly % of time, you would see that having a portfolio of long EUR/USD and long USD/CHF is the same as having virtually no position—because, as the correlation indicates, when the EUR/USD rallies, USD/CHF will undergo a selloff. On the other hand, holding long EUR/USD and long AUD/USD or NZD/USD is similar to doubling up on the same position since the correlations are so strong.

Diversification is another factor to consider. Since the EUR/USD and AUD/USD correlation is traditionally not % positive, traders can use these two pairs to diversify their risk somewhat while still maintaining a core directional view. For example, to express a bearish outlook on the USD, the trader, instead of buying two lots of the EUR/USD, may buy one lot of the EUR/USD and one lot of the AUD/USD.

The imperfect correlation between the two different currency pairs allows for more diversification and marginally lower risk. Furthermore, the central banks of Australia and Europe have different monetary policy biases, so in the event of a dollar rally, the Australian dollar may be less affected than the euro, or vice versa.

A trader can use also different pip or point values for his or her advantage. Let's consider the EUR/USD and USD/CHF once again. They have a near-perfect negative correlation, but the value of a pip move in the EUR/USD is $10 for a lot of , units while the value of a pip move in USD/CHF is $ for the same number of units. This implies traders can use USD/CHF to hedge EUR/USD exposure.

Here's how the hedge would work: Say a trader had a portfolio of one short EUR/USD lot of , units and one short USD/CHF lot of , units. When the EUR/USD increases by 10 pips or points, the trader would be down $ on the position. However, since USD/CHF moves opposite to the EUR/USD, the short USD/CHF position would be profitable, likely moving close to ten pips higher, up to $ This would turn the net loss of the portfolio into -$ instead of -$ Of course, this hedge also means smaller profits in the event of a strong EUR/USD sell-off, but in the worst-case scenario, losses become relatively lower.

Regardless of whether you are looking to diversify your positions or find alternate pairs to leverage your view, it is very important to be aware of the correlation between various currency pairs and their shifting trends. This is powerful knowledge for all professional traders holding more than one currency pair in their trading accounts. Such knowledge helps traders diversify, hedge, or double up on profits.

The Bottom Line

To be an effective trader and understand your exposure, it is important to understand how different currency pairs move in relation to each other. Some currency pairs move in tandem with each other, while others may be polar opposites. Learning about currency correlation helps traders manage their portfolios more appropriately. Regardless of your trading strategy and whether you are looking to diversify your positions or find alternate pairs to leverage your view, it is very important to keep in mind the correlation between various currency pairs and their shifting trends.

Correlations between the world's most heavily traded commodities and currency pairs are common. For example, the Canadian dollar (CAD) is correlated to oil prices due to exporting, while Japan is susceptible to oil prices because it imports most of its oil. Similarly, Australia (AUD) and New Zealand (NZD) have a close relationship to gold prices and oil prices.

While the correlations (positive or negative) can be significant, if forex traders want to profit from them, it's important to time a "correlation trade" properly. There will be times when a relationship breaks down, and such times can be very costly for a trader who does not understand what is occurring. Being aware of a correlation, monitoring it and timing it are crucial to successful trading based on the inter-market analysis provided by examining currency and commodity relationships.

Deciding Which Currency and Commodity Relationships to Trade

Not all currency/commodity correlations are worth trading. Traders need to take into account commissions and spreads, additional fees, liquidity and also access to information. Currencies and commodities that are heavily traded will be easier to find information on, will have smaller spreads and liquidity that is more likely to be adequate.

Canada is a major exporter of oil, and thus its economy is affected by the price of oil and the amount it can export. Japan is a major importer of oil, and thus the price of oil and the amount it must import affects the Japanese economy. Because of the major effect oil has on Canada and Japan, the CAD/JPY positively correlates with oil prices. This pair can be monitored as well as the USD/CAD. The downside is that the CAD/JPY generally has a higher spread and is less liquid than the USD/CAD. Since oil is priced in U.S. dollars throughout most of the world, the fluctuating dollar impacts oil prices (and vice versa). Therefore the USD/CAD can also be watched given that the two countries are major oil importers and exporters.

Figures 1 and 2 show that there are times when the currency pair and oil diverged. through , a strong correlation can be seen showing it is important to monitor correlation in real-time with actual trade data.

Australia is one of the major gold producers in the world. As a result, its economy is impacted by the price of gold and how much it can export. New Zealand is a major trading partner with Australia and is thus highly susceptible to fluctuations in Australia's economy. This means that New Zealand is also highly affected by Australia's relation to gold. In , Australia was the fourth-largest gold producer in the world. In , the U.S. was the third-largest buyer of gold. Therefore, the AUD/USD and NZD/USD are suitable for trading in relation to gold prices.

While Australia was among the smaller volume oil exporters in , throughout the AUD/USD was also positively correlated to oil prices, and then in September diverged.

Currency commodity relationships may change over time. Other currency commodity relationships can be found by looking for major producers of any export, as well as the major importers of the same commodity. The currency cross rate between the exporter and importer is worth looking at for a correlation with the commodity.

Deciding Which Instrument to Trade in

Upon knowing which currencies and commodities have strong relationships, traders need to decide which tradable currency pair they will make their trades in, or if they will trade in the commodity and currency. This will depend on several factors including fees and the trader's ability to access a given market. The charts show that the commodity is often the more volatile of the instruments.

If accessible, a trader may be able to trade the commodity and currency pair from one account due to the widespread use of commodity contracts for difference (CFDs).

Monitoring the Correlation for "Cracks"

It is also crucial to point out that just because a relationships exists "on average" over time, does not mean that strong correlations exists at all times. While these currency pairs are worth watching for their high correlation tendencies towards a commodity, there will be times when the strong correlation does not exist and may even reverse for some time.

A commodity and currency pair that is highly positively correlated one year, may diverge and become negatively correlated in the next. Traders who venture into correlation trading should be aware of when a correlation is strong and when it is shifting.

Monitoring correlations can be done quite easily with modern trading platforms. A correlation indicator can be used to show the real-time correlation between a commodity and a currency pair over a given period. A trader may wish to capture small divergences while the two instruments remain highly correlated overall. When divergence continues and the correlation weakens, a trader needs to step back and understand that this correlation may be in a period of deterioration; it is time to step to the sidelines or take a different trading approach to accommodate the changing market.

Figure 5 shows the weekly CAD/JPY as well as the correlation indicator (15 periods) comparing it to oil futures. Much of the time the indicator shows a strong correlation in the area, yet there are times when the correlation falls off. When the indicator falls below a certain threshold (for example ), the correlation is not strong and the trader can wait for the currency and commodity to re-establish the strong correlation. Divergences can be used for trade signals, but it should be noted that divergences can last for long periods of time.

The correlation indicator can be adjusted for the time frame a trader is trading on. A longer calculation period will smooth out the results and is better for longer term traders. Shortening the calculation period will make the indicator choppier but may also provide short-term signals and allow for correlation trading on smaller time frames.

Timing the Currency/Commodity Trade

Upon looking at the prior charts it is apparent that a timing strategy is needed for navigating the fluctuating correlations between currencies and commodities. While exact entry and exit will be determined by the trader and will depend on whether they are trading the commodity, currency or both, a trader should be aware of several things when entering and exiting correlation trades.

• Are the currency and commodity currently correlated? How about over time?
• Does one asset seem to lead the other?
• Is price diverging? Is one asset class making higher highs, for example, while the other asset class fails to make higher highs? If this is the case, wait for the two to begin moving together once again.

Use a trend confirmation tool. If divergences occurs, wait for a trend to emerge (or reversal) where the currency and commodity trend in their appropriate correlated fashion.

By monitoring correlations several trades could have been confirmed in the USD/CAD and oil markets over the time frame shown in Figure 6. While one could trade the pairs during correlated times, this particular time frame saw several divergences. As the currency and commodity realigned themselves, large trends developed. By watching for breaks in trend lines in both the commodity and currency, or by waiting for one asset class to join the correlation trend of the other asset class, several large trends could have been captured. This is similar to watching for divergences in the correlation indicator and then taking a trade in a trending direction as the commodity and currency realign. The commodity, currency or both could be traded.

The Bottom Line

Correlations between currencies and commodities are not an exact science. Often correlations break down and may even reverse for extended periods. Traders must remain vigilant in monitoring correlations for opportunities. Correlation indicators or monitoring charts are two ways of completing this task. After divergences, waiting for the commodity and currency to align in their respective trends can be a powerful signal - yet traders must accept that divergences can last a long time. Relationships may change over time as countries alter exports or imports, and this will affect correlations. It is also important that traders determine how they will make trades, whether in the currency, the commodity or both.