Markets Science
XBT Correlations
August 06, 2020
Updated 06Aug2020, 01:00:08 UTC
NOTE: THE CONTENT IN THIS DOCUMENT IS CONFIDENTIAL AND PROPRIETARY.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.
The symbols used in subsequent analysis represent the following assets:
- ES_F: E-mini S&P 500 Index futures, front-month contract
- RTY_F: E-mini Russell 2000 Index (front-month)
- ZT_F: 2-Year US Treasury Note Futures (front-month)
- ZN_F: 10-Year US Treasury Note Futures (front-month)
- ZB_F: 30-Year US Treasury Bond Futures (front-month)
- GC_F: Gold Futures (front-month)
- HG_F: Copper Futures (front-month)
- CL_F: WTI Light, Sweet Crude Oil Futures (front-month)
- DX_F: Dollar Index Futures (front-month)
- USDJPY: US Dollar/Yen Foreign Exchange Rate
- USDCNY: US Dollar/Yuan Exchange Rate
- USDHKD: US Dollar/Hong Kong Dollar Foreign Exchange Rate
- USDSGD: US Dollar/Singapore Dollar Foreign Exchange Rate
High Time Frame (Daily) Correlations
Low Time Frame (30min) Correlations
