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Time To Get Down To It
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Quote from Ivanovich:
The two are not 99% correlated. If they were, then how do you explain the sharp movements lately in EUR/CHF?
to be frank ... you can probably take a subset of price data from eurusd and usdchf which will show ~99% correlation. ppl quoting correlation without stating the time period and start/end time of samples is meaningless
I presume you're addressing me, Lon.Quote from Lon Eagle:
Coinzy
If you dont think the interest differential is the key - look at the reaction to the IFO and M3 this morning - no other reason for Euro rally.
Not that I don't think interest differentials are the key. I do. Just not for me and my trading systems.
I take the other side when institutional guys blather and slather at their keyboards/trading platforms, foaming at the mouth over every analysts' and central bankers' reflection/opinion.
I trade. Pure and simple.
Technical guys want to trade their way? Fine.
Fundamental guys want to trade their way? Fine.
Interest rate differential "traders" want to trade their way? Fine.
But they'll have to deal with me taking the other side of their trades.
That's all I'm saying.
Quote from Ivanovich:
The two are not 99% correlated. If they were, then how do you explain the sharp movements lately in EUR/CHF?
Oh sorry guys, the 5-day correlation is 94%. When I said like 99% I was just making the point that it's redundant to go long on two currencies that move so closely together. Sure, it might bounce between 80 and 98, but it still moves very much in a similar pattern. Show me a large rally in the EUR without one in CHF. Are any of you debating that the two are highly correlated?
Quote from Ivanovich:
I'm not debating they are highly correlated. I doubt, though, 99%, and even 94%. As a previous poster said, I can take any timeframe I choose and find a 94% correlation.
Here is the link for recent currency corrrelations:
http://www.mataf.net/en/analysis-correlation.htm
Here is the link for basic correlation info:
http://www.investopedia.com/articles/forex/05/051905.asp
The five day correlation when I wrote the post was 94%, today it is 80%. Look at some of the other correlations, you will see many in the high 90s, especially for five day. Overall the EUR and CHF have a high correlation no matter what time frame you look at for the past few years (except for extremely short ones). Looking at the data from Investopedia you can see that in March of 2005 the pair had a 99% correlation. It's a simple equation that anyone with a source of data and Excel could do.