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Trading Math

How to Calculate Correlation Between Two Symbols

Correlation is one number, from minus one to plus one, for how much two symbols' daily moves went together. This paper shows you the scale, the euro and the pound on the same ten real days, the sum in four steps worked on those days, and the spreadsheet function that does the four steps in one word.

Difficulty
Intermediate
Reading time
5 min
Pages
7
Reviewed by
Saman Rahbar

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One number on a scale

Correlation is one number for how much two symbols moved together, day by day, and it always sits between minus one and plus one. Plus one means every day they moved the same way by the same share of their usual move; minus one means every day opposite; nought means no connection at all. On the ten trading days from 24 August to 4 September 2026 the euro against the dollar and the pound against the dollar — each measured as pips from the day's open to its close — came to 0.88, most of the way to together.

Two symbols, the same ten days

Here are the two symbols on the same days. On eight of the ten they moved the same way, and the large days were shared: on 28 August the euro fell 71 pips and the pound 53, and on 3 September the euro rose 39 and the pound 35. On 24 August and 27 August they went opposite ways, by small amounts. The number measures how much of one column's pattern is in the other: the shared large days push it towards one, and the two disagreeing days hold it a little short.

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