[Forex] AUD/CAD Price vs TR(True Range) Correlation Distribution

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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