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Correlation between currency pairs

I am looking to compile data to give me correlations between the 10 different currency pairs that i currently trade. I want to do this for risk management reasons. Ideally

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قديم 19-11-2011, 02:06 AM
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تاريخ التسجيل: Sun Sep 2011
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افتراضي Correlation between currency pairs

Correlation between currency pairs

I am looking to compile data to give me correlations between the 10 different currency pairs that i currently trade. I want to do this for risk management reasons.

Ideally I am looking to arrive at data something like this (I have pulled numbers from thin air for this example):
EURUSD-EURGBP Correlation 1H (for x periods) 0.8, 4H 0.7, D 0.73
GBPCHF-CHFUSD correlation 1H -0.7, 4H -0.78, D -0.79
etc etc

I may also looking at catching the correlation with the the ES/NQ/TF futures contracts.

My plan was to obtain data to allow me to calculate this as from a designated Day 1, and to then update at the start of each trading session. It will then allow me to calculate how much I can risk per trade if for example I am long GBPCHF, short USDJPY and want to go short CHFJPY given the correlation across the pairs and my set risk parameters for a single trade.

Before embarking on this work, I thought I should ask whether this data is actually available somewhere already (whether free or not) or whether on the forum here has already tried to do something like this. I have done some searching already but have not found anything yet.

Appreciate any comments in advance! :)

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