Skip to main content

Least Correlated Forex Currency Pairs

Minimizing risk trough Un-correlation

The number of possible major/minor currency is large and trading currencies that are correlated logically increases risk. My Google search for least correlated Forex pairs came up empty so I decided to run the analysis myself.

Using information from this list on Oanda I created a JS script that would loop through the table entires and return the least correlated pairs based on the 1 year value.

Major Currencies

Max correlation between -0.50 and 0.50.


Major + Minor Currencies

Max correlation between -0.60 and 0.60, with preference to try to keep major currencies in final set


You may want to run the below snippet and adjust aPAIRS_TO_TRY_FIRST and nMAX_ABSOLUTE_CORRELATION with your own needs. Feel free to comment or follow me @danielsokolows.

Console JS Snippet

document.querySelector('#Table_button').click(); // swithc to table mode which shows numbers
//var aPAIRS_TO_TRY_FIRST = []; // use this to specify which pairs should be compared first and so this should leave them in final set, HOWEVER later pairs can be stilled pruned by previous pairs specified here
// var aPAIRS_TO_TRY_FIRST = ["AUD/JPY", "AUD/USD", "EUR/AUD", "EUR/CHF", "EUR/GBP", "EUR/JPY", "EUR/USD", "GBP/CHF", "GBP/JPY", "GBP/USD", "NZD/USD", "USD/CAD", "USD/CHF", "USD/JPY"]; // major pairs, useful when running this with  

// program variables
var aPairElementList ='#Table').querySelectorAll('.currency_pair'),0);
var aReturnedPairs = {return oElement.innerText}); // whatever remains in this array is our uncorrelated pairs
var aPairsCompared = [];

// order our clicking pattern based on our pairs to try first
function fReorderInPlacePairElementList (aPairElementList) {
    for (var i = 0; i < aPAIRS_TO_TRY_FIRST.length; i++) {
        for (var j = 0; j < aPairElementList.length; j++) {
            if (aPAIRS_TO_TRY_FIRST[i] == aPairElementList[j].innerText) {
                 var oRemoved = aPairElementList.splice(j,1)[0];
    return aPairElementList;

// for each pair select it
for (var i = 0; i < aPairElementList.length; i++) {
    // NEED TO RESCAN THE aPairElementList as the nodes have been destroyed and re-created so our aPairElementList is outdated
    aPairElementList ='#Table').querySelectorAll('.currency_pair'),0);
    fReorderInPlacePairElementList(aPairElementList); // and so we also need to re-order here
    // now loop over the entire list and prune any correlated pairs from our aReturnedPairs
    for (var j = 0; j < aPairElementList.length; j++) {
        // go to the nth sibling and check for corelation, and remove from our returned list if correlated
        // 7th  next sibling is 1 Year
        if (aPairElementList[i].innerText != aPairElementList[j].innerText && aPairsCompared.indexOf(aPairElementList[i].innerText + aPairElementList[j].innerText) == -1) {
            var nCorelationValue = Number(aPairElementList[j].nextElementSibling.nextElementSibling.nextElementSibling.nextElementSibling.nextElementSibling.nextElementSibling.nextElementSibling.innerText);
            //console.assert(nCorelationValue != NaN, 'Must never have failed to parse correlation');
            if (nCorelationValue == NaN) {throw new Exception('Must never have failed to parse correlation')};
            if (Math.abs(nCorelationValue) > nMAX_ABSOLUTE_CORRELATION ) {
               if (aPAIRS_TO_TRY_FIRST.indexOf(aPairElementList[j].innerText) > -1) {
                console.warn('Warning `' + aPairElementList[j].innerText + '` is in `aPAIRS_TO_TRY_FIRST` but will be removed due to correlation with `' + aPairElementList[i].innerText + '` which is also in `aPAIRS_TO_TRY_FIRST`.');
     'Removing `' + aPairElementList[j].innerText + '` because of correlation with `' + aPairElementList[i].innerText + '` of ' + nCorelationValue);
               if (aReturnedPairs.indexOf(aPairElementList[j].innerText) > -1) {
                aReturnedPairs.splice(aReturnedPairs.indexOf(aPairElementList[j].innerText), 1);
               // store the reverse of the pair so we don't don't compare it and remove it
               aPairsCompared.push(aPairElementList[j].innerText + aPairElementList[i].innerText);


Post a Comment

Popular posts from this blog

How to child proof a fireplace

DIY - Do it yourself fireplace child guard Our wonderful 8.5 month old Sofia has become a crawling race car with an untamed thirst for exploration. And so with the cold nights approaching we needed to child proof the fireplace. This however proved to be more difficult than would reasonably expect, I've checked the local Toys "R" Us, Walmart, and even a Canadian Tire with no success for a ready to use product. Internet search was more fruitful and returned a few online stores one could order from, however in all honestly they didn't look too sturdy to me. So I build my own relatively quickly and inexpensively. Materials needed is a privacy plastic lattice - the smallest hole pattern - a few screws and anchors; tools needed are a drill, and a handsaw if you don't have the lattice cut at the store - that’s it. The construction consits of screwing the lattice into the wall and the final product is easiest explained through following pictures. Feel free to +1 this po…

Duplicate value found: duplicates value on record with id: <unknown>.

System.DmlException: Insert failed. First exception on row 0; first error: DUPLICATE_VALUE, duplicate value found: <unknown> duplicates value on record with id: <unknown>.The above error is triggered in the database layer and caused by a trigger or workflow outside of your main code of block that is bubbling this exception. This is rather difficult to track down especially if you are unfamiliar with the code, I am sharing my procedure in the hopes this saves you time - if you find this helpful drop me a line or follow me on twitter @danielsokolows. This error is caused by unique field constraint on the object, so the first step is to examine the object and locate the API names of all unique fieds. You can do this through SF direclty 'Setup < Customize &lt <object being inserted> &lt Fields' or by downloading the `src/objects` metadata information and searching for <unique>; I preffer the latter and actually download ALL matadata information f…

Storing passwords in PuTTY

How to save SSH username/password for auto login in PuTTy The answer is you can't do least in plain PuTTy. However there is an awesome fork with that let's you store the username and password and other additional features called KiTTy.

So grab yourself a copy and +1 this if you do, thanks.