Forex Correlation Matrix

The following Forex correlation trading item creates a correlation matrix between several currency pairs.

Correlation is a statistical measure of the relationship between two securities. It tells us whether two currency pairs are moving in the same, opposite or random direction.

Correlation values vary between -100% (Forex pairs move in the same direction) and 100% (Forex pairs move in the opposite direction).

The correlation is very high and it is colored in Green if its value is higher than 80%.
The correlation is very low and it is colored in Red if its value is lower than -60%.

This Forex correlation pivot table is based on the correlation of the last 30 trading days. Of course, you can update the formula and measure the correlation using another period (90 days for example) or in another time frame (example: hourly or 1-minute).

To update the formula, right click on the Forex/currency correlation table then select "Update Rows/Columns/Values".
In the "Values" panel, click on "Correl" then update the "Correl" function.
For example, to use a 90-day period, type:
Correl(perf(close, 1), perf(SYMBOL, 1), 30)*100

To change the default period, select the "Intraday" tab then choose "1h" time frame for example.

To modify the currency pairs list used in this Forex correlation matrix, select "Rows" and "Columns" fields then update the list of symbols. The current list includes the following currencies: AUDCAD, AUDJPY, EURCAD, EURCHF, EURUSD, USDCAD, USDCHF...

Here is the correlation table of 15 currency pairs in the foreign exchange market:

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