Monday, August 23, 2010

Best correlation trajectory match for EURUSD

Another test of correlation-based matching of trajectories. This time EURUSD.

Best match with correlation of 0.9295 was found at the beginning of 1980 (red line):

In addition to the best match, two second best correlation matches were added (green lines).

Even though, based on the best correlation match (and one of the others) you might expect pretty significant growth, one of the presented second best matches suggests continued correction.

The next step would be to verify whether such matching has any sense at all :)

Download source code (R) and data.

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