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
本数据源中各交易品种之间的联动关系，基于 Exness 的 MT5 历史数据中的每日收盘价计算得出 — 共 21 个交易品种，测量时间：10月24日 · 07:46 UTC。
开设 Exness 账户 →为什么相关性对仓位大小至关重要
在高度相关的交易品种上同时持有两个未平仓头寸，其效果相当于持有一个双倍规模的头寸——账户对同一行情波动承受了两次风险敞口。在本样本中，相关性最强的货币对是 EUR/JPY 与 GBP/JPY，相关系数为 +0.94；负相关性最强的是 EUR/USD 与 USD/CAD，相关系数为 -0.70。若交易者对一组相关系数为 +0.9 的品种同时做多，实际上持有的是一笔交易，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 | +0.84 | -0.48 | +0.58 | -0.70 | -0.65 | +0.80 | +0.20 | +0.05 | -0.02 | -0.05 | +0.51 | +0.45 | +0.06 | -0.02 | +0.21 | +0.27 | +0.08 | +0.12 | -0.03 | +0.16 |
| GBPUSD | +0.84 | 1.00 | -0.44 | +0.56 | -0.62 | -0.57 | +0.80 | -0.36 | -0.00 | +0.12 | -0.03 | +0.37 | +0.38 | -0.00 | -0.12 | +0.23 | +0.36 | +0.08 | +0.23 | +0.01 | +0.15 |
| USD/JPY | -0.48 | -0.44 | 1.00 | -0.46 | +0.54 | +0.49 | -0.37 | -0.02 | +0.85 | +0.84 | +0.71 | -0.32 | -0.25 | +0.13 | +0.13 | -0.27 | -0.46 | -0.09 | -0.22 | +0.04 | -0.24 |
| AUD/USD | +0.58 | +0.56 | -0.46 | 1.00 | -0.54 | -0.44 | +0.69 | -0.03 | -0.18 | -0.16 | +0.31 | +0.47 | +0.52 | -0.26 | +0.14 | +0.44 | +0.44 | +0.34 | +0.36 | +0.31 | +0.18 |
| USDCAD | -0.70 | -0.62 | +0.54 | -0.54 | 1.00 | +0.67 | -0.59 | -0.08 | +0.19 | +0.22 | +0.14 | -0.43 | -0.36 | -0.20 | -0.06 | -0.10 | -0.28 | +0.07 | -0.02 | +0.12 | -0.04 |
| USDCHF | -0.65 | -0.57 | +0.49 | -0.44 | +0.67 | 1.00 | -0.61 | -0.08 | +0.17 | +0.19 | +0.17 | -0.53 | -0.45 | -0.04 | +0.01 | -0.17 | -0.32 | -0.06 | -0.09 | +0.05 | -0.05 |
| NZDUSD | +0.80 | +0.80 | -0.37 | +0.69 | -0.59 | -0.61 | 1.00 | -0.08 | +0.05 | +0.08 | +0.15 | +0.53 | +0.50 | -0.13 | -0.00 | +0.27 | +0.33 | +0.17 | +0.31 | +0.13 | +0.19 |
| EURGBP | +0.20 | -0.36 | -0.02 | -0.03 | -0.08 | -0.08 | -0.08 | 1.00 | +0.10 | -0.25 | -0.04 | +0.20 | +0.09 | +0.11 | +0.19 | -0.06 | -0.18 | -0.01 | -0.21 | -0.07 | -0.01 |
| EURJPY | +0.05 | -0.00 | +0.85 | -0.18 | +0.19 | +0.17 | +0.05 | +0.10 | 1.00 | +0.94 | +0.77 | -0.06 | -0.01 | +0.18 | +0.14 | -0.18 | -0.36 | -0.05 | -0.17 | +0.03 | -0.18 |
| GBPJPY | -0.02 | +0.12 | +0.84 | -0.16 | +0.22 | +0.19 | +0.08 | -0.25 | +0.94 | 1.00 | +0.76 | -0.13 | -0.04 | +0.14 | +0.07 | -0.15 | -0.29 | -0.05 | -0.10 | +0.05 | -0.17 |
| AUDJPY | -0.05 | -0.03 | +0.71 | +0.31 | +0.14 | +0.17 | +0.15 | -0.04 | +0.77 | +0.76 | 1.00 | +0.03 | +0.15 | -0.07 | +0.25 | +0.07 | -0.14 | +0.18 | +0.06 | +0.29 | -0.11 |
| XAUUSD | +0.51 | +0.37 | -0.32 | +0.47 | -0.43 | -0.53 | +0.53 | +0.20 | -0.06 | -0.13 | +0.03 | 1.00 | +0.88 | -0.18 | +0.03 | +0.45 | +0.41 | +0.37 | +0.25 | +0.35 | +0.18 |
| XAGUSD | +0.45 | +0.38 | -0.25 | +0.52 | -0.36 | -0.45 | +0.50 | +0.09 | -0.01 | -0.04 | +0.15 | +0.88 | 1.00 | -0.22 | +0.05 | +0.59 | +0.37 | +0.58 | +0.31 | +0.53 | +0.14 |
| USOIL | +0.06 | -0.00 | +0.13 | -0.26 | -0.20 | -0.04 | -0.13 | +0.11 | +0.18 | +0.14 | -0.07 | -0.18 | -0.22 | 1.00 | -0.02 | -0.51 | -0.36 | -0.53 | -0.53 | -0.48 | -0.23 |
| UKOIL | -0.02 | -0.12 | +0.13 | +0.14 | -0.06 | +0.01 | -0.00 | +0.19 | +0.14 | +0.07 | +0.25 | +0.03 | +0.05 | -0.02 | 1.00 | +0.05 | +0.03 | +0.01 | +0.09 | +0.00 | +0.19 |
| US500 | +0.21 | +0.23 | -0.27 | +0.44 | -0.10 | -0.17 | +0.27 | -0.06 | -0.18 | -0.15 | +0.07 | +0.45 | +0.59 | -0.51 | +0.05 | 1.00 | +0.69 | +0.90 | +0.61 | +0.73 | +0.34 |
| US30 | +0.27 | +0.36 | -0.46 | +0.44 | -0.28 | -0.32 | +0.33 | -0.18 | -0.36 | -0.29 | -0.14 | +0.41 | +0.37 | -0.36 | +0.03 | +0.69 | 1.00 | +0.37 | +0.67 | +0.25 | +0.52 |
| USTEC | +0.08 | +0.08 | -0.09 | +0.34 | +0.07 | -0.06 | +0.17 | -0.01 | -0.05 | -0.05 | +0.18 | +0.37 | +0.58 | -0.53 | +0.01 | +0.90 | +0.37 | 1.00 | +0.46 | +0.87 | +0.12 |
| DE30 | +0.12 | +0.23 | -0.22 | +0.36 | -0.02 | -0.09 | +0.31 | -0.21 | -0.17 | -0.10 | +0.06 | +0.25 | +0.31 | -0.53 | +0.09 | +0.61 | +0.67 | +0.46 | 1.00 | +0.41 | +0.71 |
| JP225 | -0.03 | +0.01 | +0.04 | +0.31 | +0.12 | +0.05 | +0.13 | -0.07 | +0.03 | +0.05 | +0.29 | +0.35 | +0.53 | -0.48 | +0.00 | +0.73 | +0.25 | +0.87 | +0.41 | 1.00 | +0.02 |
| UK100 | +0.16 | +0.15 | -0.24 | +0.18 | -0.04 | -0.05 | +0.19 | -0.01 | -0.18 | -0.17 | -0.11 | +0.18 | +0.14 | -0.23 | +0.19 | +0.34 | +0.52 | +0.12 | +0.71 | +0.02 | 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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