Forex Correlation Matrix
pair-to-pair correlation (returns) · 12 pairs · 1H candles · 60-period rolling
> timeframe: 1H (60 periods) · correlation of price returns · data from Massive
positive (move together) negative (move opposite)|value| > 70 = strong · 30–70 = moderate · < 30 = weak
| AUD/USD | EUR/AUD | EUR/CAD | EUR/CHF | EUR/GBP | EUR/JPY | EUR/USD | GBP/USD | NZD/USD | USD/CAD | USD/CHF | USD/JPY | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AUD/USD | — | -0% | 0% | -14% | -2% | -0% | -6% | 6% | -24% | 9% | -4% | 24% |
| EUR/AUD | -0% | — | 2% | -1% | -0% | -2% | -27% | -0% | -8% | -31% | 3% | 1% |
| EUR/CAD | 0% | 2% | — | 2% | 51% | 2% | 6% | 30% | -6% | -3% | -7% | -1% |
| EUR/CHF | -14% | -1% | 2% | — | 16% | 3% | 10% | 2% | 1% | -18% | 16% | 10% |
| EUR/GBP | -2% | -0% | 51% | 16% | — | -4% | 11% | -21% | 4% | -2% | -2% | -3% |
| EUR/JPY | -0% | -2% | 2% | 3% | -4% | — | -12% | 40% | 1% | 5% | -0% | -47% |
| EUR/USD | -6% | -27% | 6% | 10% | 11% | -12% | — | 1% | -11% | -9% | 22% | -9% |
| GBP/USD | 6% | -0% | 30% | 2% | -21% | 40% | 1% | — | 7% | -1% | 2% | -28% |
| NZD/USD | -24% | -8% | -6% | 1% | 4% | 1% | -11% | 7% | — | -6% | -5% | 3% |
| USD/CAD | 9% | -31% | -3% | -18% | -2% | 5% | -9% | -1% | -6% | — | 3% | 9% |
| USD/CHF | -4% | 3% | -7% | 16% | -2% | -0% | 22% | 2% | -5% | 3% | — | 5% |
| USD/JPY | 24% | 1% | -1% | 10% | -3% | -47% | -9% | -28% | 3% | 9% | 5% | — |
> most_positive (move together)
EUR/CAD ↔ EUR/GBP51%
EUR/JPY ↔ GBP/USD40%
EUR/CAD ↔ GBP/USD30%
AUD/USD ↔ USD/JPY24%
EUR/USD ↔ USD/CHF22%
> most_negative (move opposite)
EUR/JPY ↔ USD/JPY-47%
EUR/AUD ↔ USD/CAD-31%
GBP/USD ↔ USD/JPY-28%
EUR/AUD ↔ EUR/USD-27%
AUD/USD ↔ NZD/USD-24%
> /how_to_use
> Correlation measures how two currency pairs move relative to each other.
> Positive (>70%) — pairs move in same direction. Avoid doubling exposure.
> Negative (<−70%) — pairs move opposite. Useful for hedging.
> Near 0 — no relationship. Good for diversification.
> Based on 1H price returns (not raw prices) over 60 periods.
> Example: EUR/USD & GBP/USD strongly correlated → buying both = same bet.
> NFA — correlations change over time. Always check current values.