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Correlations and reaction to data

Correlations with the VIX and Bitcoin, the Asia-touch pattern versus New York and how much the size of the session changes on macro-release days.

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Correlations

Current and rolling correlations, and the Asia-touch pattern versus New York.

Reaction to data

How much the size of the session changes on macro-release days. The weekday split lives inside each report.

What data it uses and what its limits are

!Correlations change over time; check the window used.

How we calculate every figure: methodology.

Frequently asked questions

What does the reaction to data measure?: How much the size of the session and of the first hour changes on CPI, jobs or Fed days against normal days, with its n. Size only, not direction.

To understand the concepts

Other features

Perfiltrade is an analysis and decision-support tool. It does not issue signals or investment recommendations. Past results do not guarantee future results; trading futures involves risk of loss. Risk disclosure.