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Showing posts from February, 2017

Least Correlated Forex Currency Pairs

Minimizing risk trough Un-correlation The number of possible major/minor currency is large and trading currencies that are correlated logically increases risk. My Google search for least correlated Forex pairs came up empty so I decided to run the analysis myself. Using information from this list on Oanda I created a JS script that would loop through the table entires and return the least correlated pairs based on the 1 year value. Major Currencies Max correlation between -0.50 and 0.50 . ["AUD/JPY", "AUD/USD", "EUR/AUD"] Major + Minor Currencies Max correlation between -0.60 and 0.60 , with preference to try to keep major currencies in final set ["AUD/CAD", "AUD/CHF", "AUD/HKD", "AUD/JPY", "EUR/GBP", "EUR/SEK", "NZD/CAD", "SGD/CHF", "USD/SAR"] You may want to run the below snippet and adjust aPAIRS_TO_TRY_FIRST and nMAX_ABSOLUTE_CORRELATION