實測數據
Exness 上的金融商品相關性 — 基於 60 個交易日測量的矩陣
此行情中各交易品種如何聯動,依據 Exness MT5 歷史數據的每日收盤價計算 — 共 21 個交易品種,測量時間為 10月4日 · 15:46 CST。
開立 Exness 帳戶 →為何相關性對部位規模很重要
在高度相關的交易品種上同時持有兩筆未平倉部位，效果等同於持有一筆規模加倍的部位 — 帳戶等於對同一波行情承受了兩次曝險。在此樣本中，相關性最高的組合為 EUR/JPY 與 GBP/JPY，相關係數為 +0.96；負相關性最強的組合則為 EUR/USD 與 USD/CHF，相關係數為 -0.74。若交易者同時做多一組相關係數為 +0.9 的兩個品種，實際上持有的是一筆交易，而非兩筆。
每日報酬率的相關性（近約 60 個交易時段）
| EURUSD | GBPUSD | USDJPY | AUDUSD | USDCAD | USDCHF | NZDUSD | EURGBP | EURJPY | GBPJPY | AUDJPY | XAUUSD | XAGUSD | USOIL | UKOIL | US500 | US30 | USTEC | DE30 | JP225 | UK100 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| EURUSD | 1.00 | +0.87 | -0.54 | +0.65 | -0.72 | -0.74 | +0.81 | +0.22 | -0.09 | -0.15 | -0.15 | +0.51 | +0.53 | -0.09 | -0.02 | +0.19 | +0.18 | +0.14 | +0.09 | +0.02 | +0.14 |
| GBPUSD | +0.87 | 1.00 | -0.53 | +0.64 | -0.64 | -0.65 | +0.84 | -0.30 | -0.15 | -0.07 | -0.15 | +0.42 | +0.46 | -0.06 | +0.01 | +0.18 | +0.15 | +0.18 | +0.07 | +0.12 | +0.07 |
| USDJPY | -0.54 | -0.53 | 1.00 | -0.55 | +0.48 | +0.49 | -0.55 | +0.01 | +0.89 | +0.88 | +0.77 | -0.27 | -0.27 | +0.09 | -0.08 | -0.38 | -0.40 | -0.29 | -0.28 | -0.12 | -0.19 |
| AUDUSD | +0.65 | +0.64 | -0.55 | 1.00 | -0.55 | -0.58 | +0.75 | -0.02 | -0.29 | -0.29 | +0.10 | +0.50 | +0.62 | -0.31 | +0.03 | +0.52 | +0.52 | +0.50 | +0.42 | +0.40 | +0.33 |
| USDCAD | -0.72 | -0.64 | +0.48 | -0.55 | 1.00 | +0.72 | -0.61 | -0.14 | +0.17 | +0.21 | +0.16 | -0.57 | -0.54 | -0.13 | +0.19 | -0.07 | -0.10 | -0.02 | +0.01 | +0.00 | +0.03 |
| USDCHF | -0.74 | -0.65 | +0.49 | -0.58 | +0.72 | 1.00 | -0.70 | -0.15 | +0.18 | +0.22 | +0.15 | -0.59 | -0.60 | +0.08 | -0.10 | -0.24 | -0.22 | -0.24 | -0.05 | -0.16 | +0.02 |
| NZDUSD | +0.81 | +0.84 | -0.55 | +0.75 | -0.61 | -0.70 | 1.00 | -0.09 | -0.21 | -0.18 | -0.09 | +0.49 | +0.53 | -0.16 | -0.02 | +0.31 | +0.29 | +0.30 | +0.27 | +0.23 | +0.25 |
| EURGBP | +0.22 | -0.30 | +0.01 | -0.02 | -0.14 | -0.15 | -0.09 | 1.00 | +0.13 | -0.16 | +0.00 | +0.17 | +0.10 | -0.06 | -0.05 | -0.01 | +0.05 | -0.08 | +0.03 | -0.20 | +0.14 |
| EURJPY | -0.09 | -0.15 | +0.89 | -0.29 | +0.17 | +0.18 | -0.21 | +0.13 | 1.00 | +0.96 | +0.83 | -0.03 | -0.03 | +0.07 | -0.10 | -0.35 | -0.38 | -0.27 | -0.28 | -0.13 | -0.15 |
| GBPJPY | -0.15 | -0.07 | +0.88 | -0.29 | +0.21 | +0.22 | -0.18 | -0.16 | +0.96 | 1.00 | +0.83 | -0.08 | -0.06 | +0.08 | -0.09 | -0.34 | -0.39 | -0.24 | -0.29 | -0.08 | -0.19 |
| AUDJPY | -0.15 | -0.15 | +0.77 | +0.10 | +0.16 | +0.15 | -0.09 | +0.00 | +0.83 | +0.83 | 1.00 | +0.07 | +0.15 | -0.13 | -0.07 | -0.05 | -0.08 | +0.04 | -0.00 | +0.17 | +0.03 |
| XAUUSD | +0.51 | +0.42 | -0.27 | +0.50 | -0.57 | -0.59 | +0.49 | +0.17 | -0.03 | -0.08 | +0.07 | 1.00 | +0.91 | -0.21 | -0.12 | +0.24 | +0.28 | +0.20 | +0.11 | +0.32 | +0.08 |
| XAGUSD | +0.53 | +0.46 | -0.27 | +0.62 | -0.54 | -0.60 | +0.53 | +0.10 | -0.03 | -0.06 | +0.15 | +0.91 | 1.00 | -0.26 | -0.10 | +0.38 | +0.31 | +0.39 | +0.22 | +0.46 | +0.10 |
| USOIL | -0.09 | -0.06 | +0.09 | -0.31 | -0.13 | +0.08 | -0.16 | -0.06 | +0.07 | +0.08 | -0.13 | -0.21 | -0.26 | 1.00 | -0.21 | -0.57 | -0.55 | -0.55 | -0.64 | -0.43 | -0.28 |
| UKOIL | -0.02 | +0.01 | -0.08 | +0.03 | +0.19 | -0.10 | -0.02 | -0.05 | -0.10 | -0.09 | -0.07 | -0.12 | -0.10 | -0.21 | 1.00 | +0.12 | +0.24 | +0.03 | +0.20 | -0.11 | +0.10 |
| US500 | +0.19 | +0.18 | -0.38 | +0.52 | -0.07 | -0.24 | +0.31 | -0.01 | -0.35 | -0.34 | -0.05 | +0.24 | +0.38 | -0.57 | +0.12 | 1.00 | +0.86 | +0.92 | +0.69 | +0.68 | +0.29 |
| US30 | +0.18 | +0.15 | -0.40 | +0.52 | -0.10 | -0.22 | +0.29 | +0.05 | -0.38 | -0.39 | -0.08 | +0.28 | +0.31 | -0.55 | +0.24 | +0.86 | 1.00 | +0.64 | +0.69 | +0.41 | +0.33 |
| USTEC | +0.14 | +0.18 | -0.29 | +0.50 | -0.02 | -0.24 | +0.30 | -0.08 | -0.27 | -0.24 | +0.04 | +0.20 | +0.39 | -0.55 | +0.03 | +0.92 | +0.64 | 1.00 | +0.59 | +0.83 | +0.21 |
| DE30 | +0.09 | +0.07 | -0.28 | +0.42 | +0.01 | -0.05 | +0.27 | +0.03 | -0.28 | -0.29 | -0.00 | +0.11 | +0.22 | -0.64 | +0.20 | +0.69 | +0.69 | +0.59 | 1.00 | +0.47 | +0.57 |
| JP225 | +0.02 | +0.12 | -0.12 | +0.40 | +0.00 | -0.16 | +0.23 | -0.20 | -0.13 | -0.08 | +0.17 | +0.32 | +0.46 | -0.43 | -0.11 | +0.68 | +0.41 | +0.83 | +0.47 | 1.00 | +0.15 |
| UK100 | +0.14 | +0.07 | -0.19 | +0.33 | +0.03 | +0.02 | +0.25 | +0.14 | -0.15 | -0.19 | +0.03 | +0.08 | +0.10 | -0.28 | +0.10 | +0.29 | +0.33 | +0.21 | +0.57 | +0.15 | 1.00 |
+1.00＝這些商品每個時段都同向波動；−1.00＝走勢相反；接近 0＝彼此獨立。綠色為正相關，紅色為負相關；顏色越深，關聯越強。
請仔細閱讀
- 60 筆每日收盤資料為較短的取樣區間 — 數值僅供參考，並非固定值。
- 相關性會隨總體環境變化，並可能在市場承壓時反轉。
- 加密貨幣商品採一週 7 天交易，故予以略去——其每日序列無法與 5 天交易市場逐根對齊。
- 相關性並不代表方向 — 只代表兩者一同變動。
在終端內於 Exness 自有的 MetaTrader 5 報價源及品種規格上測量，按排程刷新。所有數據僅供參考，並會隨市場狀況而變化。
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