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Currency pair correlation

Two correlated positions are not two positions: they are the same one, twice. Here are the real coefficients of the twenty-eight major and cross pairs, across four timeframes.

Computing…

Correlations

Ranked by strength, regardless of sign: a correlation of −0.85 concentrates risk just as much as one of +0.85.

Pair Coefficient Strength Reading

How the coefficient is computed

The Pearson coefficient is measured on log returns, not on prices. Correlating prices produces huge and wrong numbers: two series that have risen for a year look 0.9 correlated even if their daily moves have nothing in common.

Series are aligned by timestamp, not by position. A public holiday missing on one side would otherwise shift the whole series by one step and crush the correlation of pairs that genuinely move together.

The practical use is exposure management. Buying EUR/USD and selling USD/CHF at the same time, with a correlation near −0.9 between them, amounts to doubling one dollar position — for a risk that, on paper, looks spread out.

Its limits

A correlation is a snapshot of the recent past. It changes, sometimes abruptly: a monetary policy shift or a crisis realigns pairs within a few sessions.

It only measures a linear relationship. Two pairs can be clearly but non-linearly linked — only resonating beyond a certain threshold — without the coefficient showing it.

The timeframe changes the answer. A strong correlation on weekly data can be near zero on hourly data: it is not the same participants acting at the two scales.

Other tools

Position size How much to buy so you only risk what you decided. Pip value What one pip is worth, in your currency, for your size. Profit and loss What a trade earns or costs, before you take it.

Go further: Multi-timeframe, liquidity and gold analysis

The same maths lives inside the terminal

Sizing, stop distance and targets are recomputed on every signal, live, next to the chart.

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These tools perform arithmetic on market prices. They are not investment advice, not a recommendation and not a promise of any result. Figures ignore spread, commission and financing costs unless stated otherwise.