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Correlations is a very big topic, and it’s difficult to define how much symbols are actually correlated. Correlation varies over time and depend on market conditions, macro economic landscape etc.. Our goal is not to “actually” define correlation, but rather to make some assumptions that avoid being labelled as gamblers by prop firms.

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FOREX with FOREX correlations

for symbols sharing base or quote currency)
  • strict mode: correlation=0.8 or -0.8
  • normal mode: correlation=0.5 or -0.5
  • weak mode: correlation=0.3 or -0.3
Thus EURUSD USDJPY will have -0.5 correlation in the normal mode.
GPBUSD EURUSD will have 0.8 correlation in the strict mode.
USDJPY GBPJPY will have 0.3 correlation in weak mode. for symbols not sharing any base or quote currency:
  • strict mode: correlation=0.5
  • normal mode: correlation=0.2
  • weak mode: correlation=0
Example GBPJPY , USDCAD will have 0.5 correlation in normal mode