测量数据
Exness 上的交易品种相关性——基于 60 个交易日的矩阵测算
该数据源中各交易品种如何联动，基于 Exness MT5 历史数据的每日收盘价计算——共 21 个交易品种，测量于 7 月 21 日 · 15:50 CST。
开设 Exness 账户 →为什么相关性对仓位大小至关重要
同时持有两个高度相关品种的仓位，其表现就如同一个双倍手数的仓位——账户在同一次行情波动中承受了两倍的风险敞口。在本次样本中，相关性最高的组合是 US500（标普 500）与 USTEC（纳斯达克 100），达到 +0.91；负相关最强的是 EUR/USD 与 USD/CHF，为 -0.85。同时做多相关性 +0.9 的两个品种的交易者，实际上只是持有一笔交易，而非两笔。
每日收益率的相关性（最近约60个交易日）
| EUR/USD | GBPUSD | USD/JPY | AUD/USD | USDCAD | USDCHF | NZDUSD | EURGBP | EURJPY | GBPJPY | AUDJPY | XAUUSD | XAGUSD | USOIL | UKOIL | US500 | US30 | USTEC | DE30 | JP225 | UK100 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| EUR/USD | 1.00 | +0.83 | -0.51 | +0.78 | -0.63 | -0.85 | +0.76 | -0.19 | +0.74 | +0.67 | +0.61 | +0.61 | +0.66 | -0.15 | +0.20 | +0.51 | +0.43 | +0.39 | +0.33 | +0.32 | +0.12 |
| GBPUSD | +0.83 | 1.00 | -0.49 | +0.68 | -0.55 | -0.76 | +0.64 | -0.70 | +0.56 | +0.87 | +0.51 | +0.55 | +0.59 | -0.21 | +0.13 | +0.40 | +0.41 | +0.26 | +0.37 | +0.22 | +0.05 |
| USD/JPY | -0.51 | -0.49 | 1.00 | -0.40 | +0.33 | +0.62 | -0.39 | +0.22 | +0.21 | +0.01 | +0.03 | -0.61 | -0.56 | +0.31 | -0.18 | -0.25 | -0.36 | -0.14 | -0.37 | -0.21 | -0.35 |
| AUD/USD | +0.78 | +0.68 | -0.40 | 1.00 | -0.54 | -0.70 | +0.78 | -0.20 | +0.57 | +0.54 | +0.90 | +0.72 | +0.78 | -0.23 | +0.37 | +0.73 | +0.57 | +0.65 | +0.58 | +0.60 | +0.16 |
| USDCAD | -0.63 | -0.55 | +0.33 | -0.54 | 1.00 | +0.57 | -0.57 | +0.18 | -0.45 | -0.44 | -0.44 | -0.35 | -0.34 | -0.11 | -0.21 | -0.22 | -0.15 | -0.12 | -0.17 | -0.01 | -0.06 |
| USDCHF | -0.85 | -0.76 | +0.62 | -0.70 | +0.57 | 1.00 | -0.71 | +0.25 | -0.48 | -0.51 | -0.47 | -0.73 | -0.68 | +0.30 | -0.31 | -0.52 | -0.55 | -0.37 | -0.43 | -0.33 | -0.26 |
| NZDUSD | +0.76 | +0.64 | -0.39 | +0.78 | -0.57 | -0.71 | 1.00 | -0.17 | +0.56 | +0.51 | +0.67 | +0.57 | +0.62 | -0.26 | +0.36 | +0.57 | +0.48 | +0.46 | +0.40 | +0.30 | +0.02 |
| EURGBP | -0.19 | -0.70 | +0.22 | -0.20 | +0.18 | +0.25 | -0.17 | 1.00 | -0.05 | -0.68 | -0.12 | -0.19 | -0.20 | +0.19 | +0.02 | -0.05 | -0.17 | +0.05 | -0.24 | +0.02 | +0.06 |
| EURJPY | +0.74 | +0.56 | +0.21 | +0.57 | -0.45 | -0.48 | +0.56 | -0.05 | 1.00 | +0.76 | +0.72 | +0.21 | +0.32 | +0.08 | +0.08 | +0.38 | +0.21 | +0.34 | +0.08 | +0.20 | -0.13 |
| GBPJPY | +0.67 | +0.87 | +0.01 | +0.54 | -0.44 | -0.51 | +0.51 | -0.68 | +0.76 | 1.00 | +0.60 | +0.28 | +0.36 | -0.06 | +0.05 | +0.31 | +0.26 | +0.22 | +0.21 | +0.13 | -0.14 |
| AUDJPY | +0.61 | +0.51 | +0.03 | +0.90 | -0.44 | -0.47 | +0.67 | -0.12 | +0.72 | +0.60 | 1.00 | +0.50 | +0.59 | -0.11 | +0.32 | +0.68 | +0.45 | +0.65 | +0.46 | +0.56 | +0.01 |
| XAUUSD | +0.61 | +0.55 | -0.61 | +0.72 | -0.35 | -0.73 | +0.57 | -0.19 | +0.21 | +0.28 | +0.50 | 1.00 | +0.89 | -0.41 | +0.17 | +0.65 | +0.66 | +0.52 | +0.63 | +0.52 | +0.36 |
| XAGUSD | +0.66 | +0.59 | -0.56 | +0.78 | -0.34 | -0.68 | +0.62 | -0.20 | +0.32 | +0.36 | +0.59 | +0.89 | 1.00 | -0.32 | +0.24 | +0.68 | +0.62 | +0.57 | +0.65 | +0.55 | +0.27 |
| USOIL | -0.15 | -0.21 | +0.31 | -0.23 | -0.11 | +0.30 | -0.26 | +0.19 | +0.08 | -0.06 | -0.11 | -0.41 | -0.32 | 1.00 | -0.10 | -0.37 | -0.53 | -0.27 | -0.40 | -0.34 | -0.34 |
| UKOIL | +0.20 | +0.13 | -0.18 | +0.37 | -0.21 | -0.31 | +0.36 | +0.02 | +0.08 | +0.05 | +0.32 | +0.17 | +0.24 | -0.10 | 1.00 | +0.31 | +0.24 | +0.25 | +0.16 | +0.21 | +0.17 |
| US500 | +0.51 | +0.40 | -0.25 | +0.73 | -0.22 | -0.52 | +0.57 | -0.05 | +0.38 | +0.31 | +0.68 | +0.65 | +0.68 | -0.37 | +0.31 | 1.00 | +0.79 | +0.91 | +0.64 | +0.75 | +0.28 |
| US30 | +0.43 | +0.41 | -0.36 | +0.57 | -0.15 | -0.55 | +0.48 | -0.17 | +0.21 | +0.26 | +0.45 | +0.66 | +0.62 | -0.53 | +0.24 | +0.79 | 1.00 | +0.55 | +0.74 | +0.48 | +0.53 |
| USTEC | +0.39 | +0.26 | -0.14 | +0.65 | -0.12 | -0.37 | +0.46 | +0.05 | +0.34 | +0.22 | +0.65 | +0.52 | +0.57 | -0.27 | +0.25 | +0.91 | +0.55 | 1.00 | +0.52 | +0.90 | +0.17 |
| DE30 | +0.33 | +0.37 | -0.37 | +0.58 | -0.17 | -0.43 | +0.40 | -0.24 | +0.08 | +0.21 | +0.46 | +0.63 | +0.65 | -0.40 | +0.16 | +0.64 | +0.74 | +0.52 | 1.00 | +0.53 | +0.43 |
| JP225 | +0.32 | +0.22 | -0.21 | +0.60 | -0.01 | -0.33 | +0.30 | +0.02 | +0.20 | +0.13 | +0.56 | +0.52 | +0.55 | -0.34 | +0.21 | +0.75 | +0.48 | +0.90 | +0.53 | 1.00 | +0.24 |
| UK100 | +0.12 | +0.05 | -0.35 | +0.16 | -0.06 | -0.26 | +0.02 | +0.06 | -0.13 | -0.14 | +0.01 | +0.36 | +0.27 | -0.34 | +0.17 | +0.28 | +0.53 | +0.17 | +0.43 | +0.24 | 1.00 |
+1.00 = 每轮交易中这些品种走势一致；−1.00 = 走势相反；接近0 = 走势独立。绿色表示正相关，红色表示负相关；颜色越深，相关性越强。
请仔细阅读
- 60个交易日的收盘价样本量较小——请将这些数值视为参考值，而非固定值。
- 相关性会随宏观背景的变化而变化，在市场承压时甚至可能发生逆转。
- 加密货币交易工具每周交易7天，因此未被纳入——其日线数据与5天交易市场的日线数据无法逐根对齐。
- 相关性并不说明方向——它只说明两者是同步变化的。
在 Exness 自有的 MetaTrader 5 报价源及品种规格上于终端内测量，按计划定时刷新。所有数据仅供参考，并会随市场行情而变动。
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