|July 6th, 2013, 03:52 AM||#1 (permalink)|
Futures Experience: Beginner
Platform: SierraChart/TT Feed
Favorite Futures: NQ
Posts: 129 since Mar 2012
Thanks: 212 given, 198 received
I am using Sierra Chart and attempting to evaluate an unbiased correlation between two markets. By "correlation" I am also including inversely correlated (for example EURUSD, USDCHF are pretty nicely inversely correlated most of the time).
The idea is I trade a basket of instruments on the higher TFs (60min+) that are reasonably uncorrelated. Trouble is correlations change over time as market dynamics change and underlying fundamentals drive correlations towards or away from each other.
In Sierra Chart I am using the Correlation Coefficient study to evaluate on a daily chart to get a rough idea how correlated two markets are. The question is, am I using the right study? I believe I am. What settings should I use? I am currently using a 21-day period which will show a moving correlation coefficient over the past 21 trading days on my chart. If you are interested in trying this on Sierra Chart I did a video on how to set it up:
Here's a chart of how correlated the NQ is to the DAX:
Thanks for any comments, suggestions or ideas.