With my previous post with the 2007-2008 theme making it to the front page, I decided to make another with a similar topic. A stock market crash causes all markets to get volatile and moving. This is why a currency trader will keep an eye on other asset classes to keep track of where money is going or where it was and has left. Since I don't think the next crisis is far off, I decided to study some of the historical patterns that have been occurring in times like that.
I also improved my correlation mandate indicator to show overall correlation with the market, fixed some bugs and made it more clear.
Guide: a candle correlating to the main chart = purple, a candle anti-correlating to the main chart = yellow, the correlation length is based on the latest 300 bars, not the crash back then
First up, Dollar Index, JPY Index, Euro Futures (this means it is not an index)
Japanese Yen did exceptionally well throughout the crash's duration - likely due to being considered to be an alternative-to-dollar safe-haven currency.
Euro Futures performed great in the beginning but did reverse at the same time the US Dollar did.
The US Dollar started off poorly but reversed at the same time Euro Futures did (could this have signified something?)
Next: remaining majors - AUD Futures, GBP Futures, CAD Futures, and CHF Futures. NZD is absent because I can't find an appropriate index/futures
All of them seem to have woken up later in March when the crash was two weeks in motion and all of them went down after. GBP with Brexit happening and AUD with CAD being a "commodity currencies" it makes sense they go down when the market switches to risk-off mode.
Swiss Franc rather followed a path similar to the EUR. Being highly backed by gold, this should have been expected (again, could money leaving Franc and Euro and going somewhere else signify a possible reversal on stocks here?)
This analysis would be incomplete if I didn't list interest rate changes over March 2020, although I did want to focus purely on the money flow & show the charts.
NZD: 1 -> (16.3.20) 0.25
GBP: 0.75 -> (11.3.20) 0.25 -> (19.3.20) 0.1
USD: 1.75 -> (3.3.20) 1.25 -> (15.3.20) 0.25
CAD: 1.75 -> (3.4.20) 1.25 -> (13.3.20) 0.75 -> (27.3.20) 0.25
AUD: 0.75 -> (3.3.20) 0.5 -> (19.3.20) 0.25 -> (11.3.20) 0.1
And on this note, I will leave any interpretation to you.
Good luck!
I also improved my correlation mandate indicator to show overall correlation with the market, fixed some bugs and made it more clear.
Guide: a candle correlating to the main chart = purple, a candle anti-correlating to the main chart = yellow, the correlation length is based on the latest 300 bars, not the crash back then
First up, Dollar Index, JPY Index, Euro Futures (this means it is not an index)
Japanese Yen did exceptionally well throughout the crash's duration - likely due to being considered to be an alternative-to-dollar safe-haven currency.
Euro Futures performed great in the beginning but did reverse at the same time the US Dollar did.
The US Dollar started off poorly but reversed at the same time Euro Futures did (could this have signified something?)
Next: remaining majors - AUD Futures, GBP Futures, CAD Futures, and CHF Futures. NZD is absent because I can't find an appropriate index/futures
All of them seem to have woken up later in March when the crash was two weeks in motion and all of them went down after. GBP with Brexit happening and AUD with CAD being a "commodity currencies" it makes sense they go down when the market switches to risk-off mode.
Swiss Franc rather followed a path similar to the EUR. Being highly backed by gold, this should have been expected (again, could money leaving Franc and Euro and going somewhere else signify a possible reversal on stocks here?)
This analysis would be incomplete if I didn't list interest rate changes over March 2020, although I did want to focus purely on the money flow & show the charts.
NZD: 1 -> (16.3.20) 0.25
GBP: 0.75 -> (11.3.20) 0.25 -> (19.3.20) 0.1
USD: 1.75 -> (3.3.20) 1.25 -> (15.3.20) 0.25
CAD: 1.75 -> (3.4.20) 1.25 -> (13.3.20) 0.75 -> (27.3.20) 0.25
AUD: 0.75 -> (3.3.20) 0.5 -> (19.3.20) 0.25 -> (11.3.20) 0.1
And on this note, I will leave any interpretation to you.
Good luck!
Comment:
Edit - I am adding one more chart to show Yen and USD as Futures from the same source - since comparing indexes with futures makes it harder to interpret.