Inter Market Correlations

[Trader13]

Just as bone indicated, correlations are best used as a screen or first step in looking for something else that offers value in trading. Correlation itself is not a trade setup or edge.

 

[victorycountry]

Some select on-the-run inter market positive correlations for your consideration:

Canadian Dollar vs. Nymex WTI Crude

1 Month 0.869
3 Months 0.690
6 Months 0.780
1 Year 0.944
2 Years 0.785

Comex Gold vs. Comex Silver

1 Month 0.518
3 Months 0.820
6 Months 0.888
1 Year 0.943
2 Years 0.905

FTSE 100 vs DJ EuroStoxx 30

1 Month 0.866
3 Months 0.735
6 Months 0.912
1 Year 0.800
2 Years 0.723

ES vs China A50 Index (SGX)

1 Month 0.786
3 Months 0.264
6 Months 0.429
1 Year 0.812
2 Years 0.452

NOTE: Daily Close-to-Close

Pairs trading strategy... a strategy not easy to implement ... cos you need to monitor multiple pairs while you also need to monitor multiple timeframes...
I used to use this in Forex using cross pairs but I have stopped doing it because this strategy requires high level of concentration and sometimes makes me very aggressive.
But I admit this strategy can produce higher profits than any other strategies.

 

[Cswim63]

no kidding, us spot fx traders have been following that CAD vs CL for a long time, and it get's even more interesting when you introduce the other 5 majors against it

everything is correlated, some more than others

if you understood timing you could probably trade the correlation as a wave moving from one instrument to the other

In otherwords, a good energy analyst could still be trading that wave. I know we felt it in usd.cad, who knows where it is now?

it's floating around somewhere over West Texas.

 

[bone]

Some more on-the-run inter market correlations based on daily settlements. I blend the results from two different statistical studies, and most importantly, I use the results as a simple SCREENING method to see if a combination warrants further investigation.

FDAX vs CAC 40

1 Month 0.887
3 Months 0.968
6 Months 0.904
1 Year 0.900
2 Years 0.941
5 Years 0.970

Copper vs Canadian Dollar

1 Month 0.901
3 Months 0.533
6 Months 0.839
1 Year 0.942
2 Years 0.962
5 Years 0.947

10 Year Swiss Note vs 5 year German Bobl

1 Month 0.943
3 Months 0.697
6 Months -0.085
1 Year -0.075
2 Years 0.805
5 Years 0.859

ICE Gas/Oil vs 4 Year Russian Government Bond

1 Month 0.918
3 Months 0.836
6 Months 0.536
1 Year 0.188
2 Years 0.229

Indian Rupee vs Coriander (NCDEX- Food&Fiber)

1 Month 0.729
3 Months 0.728
6 Months 0.677
1 Year 0.114

 

[destriero]

FDAX and CAC are at 97 shift 1M on BBG and macroaxis. wtf did you get 88?