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
本行情源中各交易品种的联动方式，依据 Exness MT5 历史数据的每日收盘价计算——共 21 个交易品种，测算时间为 10 Sep · 07:50 UTC。
开设 Exness 账户 →为什么相关性对仓位大小至关重要
在两个高度相关的交易品种上同时持有两笔仓位，其表现相当于一笔双倍规模的仓位——账户会因同一次行情波动而承受双重风险敞口。在本样本中，相关性最高的组合是 EUR/JPY 与 GBP/JPY，达 +0.95；反向相关性最强的是 EUR/USD 与 USD/CHF，为 -0.91。若交易者同时做多相关性为 +0.9 的两个品种，那么他持有的实际上是一笔交易，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 | +0.85 | -0.50 | +0.63 | -0.71 | -0.91 | +0.77 | -0.02 | -0.06 | -0.06 | -0.14 | +0.60 | +0.56 | -0.20 | +0.23 | +0.23 | +0.10 | +0.29 | +0.10 | +0.23 | -0.06 |
| GBPUSD | +0.85 | 1.00 | -0.42 | +0.63 | -0.56 | -0.75 | +0.79 | -0.54 | -0.04 | +0.13 | -0.05 | +0.45 | +0.40 | -0.14 | +0.17 | +0.22 | +0.05 | +0.25 | +0.05 | +0.20 | -0.07 |
| USD/JPY | -0.50 | -0.42 | 1.00 | -0.47 | +0.41 | +0.54 | -0.43 | -0.00 | +0.89 | +0.85 | +0.81 | -0.26 | -0.23 | +0.12 | -0.22 | -0.36 | -0.32 | -0.32 | -0.20 | -0.12 | -0.00 |
| AUD/USD | +0.63 | +0.63 | -0.47 | 1.00 | -0.45 | -0.64 | +0.72 | -0.19 | -0.22 | -0.15 | +0.13 | +0.51 | +0.51 | -0.36 | +0.11 | +0.53 | +0.42 | +0.58 | +0.33 | +0.52 | +0.06 |
| USDCAD | -0.71 | -0.56 | +0.41 | -0.45 | 1.00 | +0.67 | -0.58 | -0.05 | +0.11 | +0.12 | +0.16 | -0.48 | -0.40 | -0.11 | -0.28 | -0.06 | +0.01 | -0.09 | +0.04 | -0.06 | +0.05 |
| USDCHF | -0.91 | -0.75 | +0.54 | -0.64 | +0.67 | 1.00 | -0.75 | -0.03 | +0.16 | +0.16 | +0.18 | -0.62 | -0.58 | +0.22 | -0.16 | -0.28 | -0.19 | -0.32 | -0.14 | -0.26 | +0.03 |
| NZDUSD | +0.77 | +0.79 | -0.43 | +0.72 | -0.58 | -0.75 | 1.00 | -0.27 | -0.10 | -0.01 | -0.01 | +0.48 | +0.46 | -0.18 | +0.10 | +0.30 | +0.18 | +0.34 | +0.19 | +0.31 | +0.02 |
| EURGBP | -0.02 | -0.54 | -0.00 | -0.19 | -0.05 | -0.03 | -0.27 | 1.00 | -0.01 | -0.32 | -0.12 | +0.11 | +0.14 | -0.05 | +0.04 | -0.04 | +0.07 | -0.02 | +0.06 | -0.01 | +0.04 |
| EURJPY | -0.06 | -0.04 | +0.89 | -0.22 | +0.11 | +0.16 | -0.10 | -0.01 | 1.00 | +0.95 | +0.86 | +0.01 | +0.02 | +0.04 | -0.14 | -0.30 | -0.31 | -0.22 | -0.18 | -0.03 | -0.04 |
| GBPJPY | -0.06 | +0.13 | +0.85 | -0.15 | +0.12 | +0.16 | -0.01 | -0.32 | +0.95 | 1.00 | +0.85 | -0.02 | -0.03 | +0.06 | -0.14 | -0.27 | -0.32 | -0.20 | -0.19 | -0.02 | -0.05 |
| AUDJPY | -0.14 | -0.05 | +0.81 | +0.13 | +0.16 | +0.18 | -0.01 | -0.12 | +0.86 | +0.85 | 1.00 | +0.05 | +0.08 | -0.11 | -0.18 | -0.05 | -0.07 | +0.03 | -0.01 | +0.21 | +0.04 |
| XAUUSD | +0.60 | +0.45 | -0.26 | +0.51 | -0.48 | -0.62 | +0.48 | +0.11 | +0.01 | -0.02 | +0.05 | 1.00 | +0.92 | -0.23 | +0.22 | +0.27 | +0.29 | +0.29 | +0.26 | +0.39 | -0.08 |
| XAGUSD | +0.56 | +0.40 | -0.23 | +0.51 | -0.40 | -0.58 | +0.46 | +0.14 | +0.02 | -0.03 | +0.08 | +0.92 | 1.00 | -0.23 | +0.07 | +0.40 | +0.31 | +0.47 | +0.39 | +0.55 | -0.09 |
| USOIL | -0.20 | -0.14 | +0.12 | -0.36 | -0.11 | +0.22 | -0.18 | -0.05 | +0.04 | +0.06 | -0.11 | -0.23 | -0.23 | 1.00 | +0.10 | -0.53 | -0.55 | -0.44 | -0.53 | -0.35 | -0.06 |
| UKOIL | +0.23 | +0.17 | -0.22 | +0.11 | -0.28 | -0.16 | +0.10 | +0.04 | -0.14 | -0.14 | -0.18 | +0.22 | +0.07 | +0.10 | 1.00 | -0.27 | -0.20 | -0.20 | -0.12 | -0.11 | -0.17 |
| US500 | +0.23 | +0.22 | -0.36 | +0.53 | -0.06 | -0.28 | +0.30 | -0.04 | -0.30 | -0.27 | -0.05 | +0.27 | +0.40 | -0.53 | -0.27 | 1.00 | +0.86 | +0.90 | +0.67 | +0.71 | -0.02 |
| US30 | +0.10 | +0.05 | -0.32 | +0.42 | +0.01 | -0.19 | +0.18 | +0.07 | -0.31 | -0.32 | -0.07 | +0.29 | +0.31 | -0.55 | -0.20 | +0.86 | 1.00 | +0.61 | +0.71 | +0.42 | +0.10 |
| USTEC | +0.29 | +0.25 | -0.32 | +0.58 | -0.09 | -0.32 | +0.34 | -0.02 | -0.22 | -0.20 | +0.03 | +0.29 | +0.47 | -0.44 | -0.20 | +0.90 | +0.61 | 1.00 | +0.57 | +0.89 | -0.07 |
| DE30 | +0.10 | +0.05 | -0.20 | +0.33 | +0.04 | -0.14 | +0.19 | +0.06 | -0.18 | -0.19 | -0.01 | +0.26 | +0.39 | -0.53 | -0.12 | +0.67 | +0.71 | +0.57 | 1.00 | +0.52 | +0.11 |
| JP225 | +0.23 | +0.20 | -0.12 | +0.52 | -0.06 | -0.26 | +0.31 | -0.01 | -0.03 | -0.02 | +0.21 | +0.39 | +0.55 | -0.35 | -0.11 | +0.71 | +0.42 | +0.89 | +0.52 | 1.00 | -0.03 |
| UK100 | -0.06 | -0.07 | -0.00 | +0.06 | +0.05 | +0.03 | +0.02 | +0.04 | -0.04 | -0.05 | +0.04 | -0.08 | -0.09 | -0.06 | -0.17 | -0.02 | +0.10 | -0.07 | +0.11 | -0.03 | 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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