Correlation calculator
How closely two markets move together.
Free risk tools
Rolling correlation calculator
Does the link between two markets hold, or come and go? The correlation window by window, its range and how often it flipped.
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- Nothing you type is stored
The prices
The link
Over the last 20 bars the correlation is +0.34 (weak), against +0.28 over all 79 bars.
- The range
- From -0.01 to +0.50, median +0.26. Above 0.5 in 2% of the windows, below 0 in 2%.
- Stability
- The sign clearly flipped (past 0.1 either way) 0 times: fairly stable, but it has weakened at times.
- Read it with care
- Correlation is measured on the bar-to-bar moves, not the prices. It tends to jump towards 1 in a sell-off, just when spreading the risk matters most.
The 20-bar correlation at points through the run, by the bar it ends on. The latest is marked.
| Ends at bar | Correlation |
|---|---|
| 31 | +0.50 |
| 38 | +0.18 |
| 45 | +0.12 |
| 52 | +0.11 |
| 59 | +0.38 |
| 66 | +0.25 |
| 73 | +0.44 |
| 80 | +0.34 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
One number hides the story
A correlation of 0.6 over a year can be 0.9 for six months and 0.3 for the other six. Hedges, pairs and spread trades rest on the link holding, so the number that matters is how it has moved through time. This page measures it over every window of the length you choose and shows its range, how often it changed sign and where it stands now.
Get one number for the whole run with the correlation calculator, compare several markets at once with the correlation matrix, and test whether a pair drifts back together with the cointegration test.
Not advice. Arithmetic on the prices you type; past links do not promise future ones.
Next tools
Correlation matrix calculator
Up to four markets at once.
Cointegration test
Is the pair really tied together?
Pricing
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.