Moving Correlation (Price, TR, 100 Day Parameter)
X axis : Date(1993/05 ~ 2014/03)
Y axis : Moving Correlation Coefficient
TR(True Range) = Log(High of Day) - Log(Low of Day)
Time Scale : Day
100 Day Parameter
Moving Correlation Distribution (Price, TR, 100 Day Parameter)
X axis : AUD/CAD Price vs TR(True Range) Correlation Coefficient
Y axis : Number of Days
Time Scale : Day
100 Day Parameter
Analysis
May 1993 to February 2014, AUD/CAD Price vs TR(True Range) correlation coefficient is -0.21.
The moving correlation coefficient are to be concentrated in the correlation coefficient -0.3~0.1 and The low correlation holds many days.
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