Skip to main content
Track Correlation analysis
12 / 37
Search the archiveLibrary
Library

1995issue C041-8

Rolling correlation windows for shifting intermarket regimes

A story that one market moved because another market moved assumes a usable intermarket-linkage. The same pair can support or contradict that story depending on the window, so a rolling-correlation-window is read as a dated label beside a moving-average-trend-filter.

  • Stories that one market moved because another market moved assume a usable intermarket-linkage, yet the same pair can support or contradict that story depending on the window.
  • A rolling-correlation-window can swing a pair from nearly +1 to nearly -1 even when a longer sample shows only a moderate correlation-coefficient.
  • Several short-window coefficients under one chart show when a chosen market is aligned with, inverse to, or nearly unlinked from each counterpart.
  • Correlation overlays were a context layer for regime-aware-context, meant to sit beside a moving-average-trend-filter rather than serve as a complete method.
Entries in this reading3 entries
Current trackCorrelation analysis52 readingsIntermarket analysis136 readingsMoving average449 readings

A linkage story is only as good as its window

Stories that one market moved because another market moved assume a usable intermarket-linkage. The same pair can support or contradict that story depending on the window.

Daily Treasury bond futures compared with a dollar index, and separately with a utility-stock average, showed concurrent 1994 downtrends of lower highs and lower lows.

Weekly bond futures versus a broad commodity index looked like an inverse-relationship in 1993, then more aligned through much of 1994. Bonds then turned down while commodities leveled off late that year.

A long-sample score can hide a swing

Rescaling bonds and the dollar index to a common start of 100 from April 1992 showed alternating tandem and inverse episodes, so the pair was not locked in one sign. Over that longer sample the bond-dollar correlation-coefficient was +0.60 on a scale from -1 to +1, a positive but moderate reading next to values near +0.90.

A rolling-correlation-window of 30 trading days for the same pair swung from nearly +1 to nearly -1. Both the strength and the sign of the intermarket-linkage changed inside the longer window.

Several counterparts under one chart

Several 30-day correlation-coefficient readings under a bond or equity chart, versus the dollar, utilities, gold, a broad equity index, and a commodity index, show when a chosen market is aligned with, inverse to, or nearly unlinked from each counterpart.

In a late-1994 equity example, 30-day coefficients versus the dollar and bonds approached -0.80 while the index made new lows. After the index turned up, those coefficients rose as the three markets began to travel together.

Turns in the rolling-correlation-window were treated as more timely than waiting for extreme readings near plus or minus 0.90, because a high reading can persist after the linkage is already in place.

Read the label beside a trend filter

Correlation overlays were presented as a context layer to combine with a moving-average-trend-filter, not as a complete method on their own.

TradersWeek editorial: that two-layer habit keeps a single trade inside regime-aware-context, judged against whichever relationships are currently tight, inverted, or near zero.

Weekly T-bond futures versus the CRB index, 1991–1995

Weekly closes show the pair flipping regime: bonds rallied while the CRB fell into early 1993, then both rose through 1994 before bonds turned down as commodities stayed firm. Points were read from the source weekly bars, not copied from the screenshot.
Weekly closes show the pair flipping regime: bonds rallied while the CRB fell into early 1993, then both rose through 1994 before bonds turned down as commodities stayed firm. Points were read from the source weekly bars, not copied from the screenshot.US T-bond futures and Knight-Ridder CRB index · weekly · 1990-12-01T00:00:00.000Z to 1995-01-23T00:00:00.000Z

OHLC weekly bars digitized at month-end closes from the Technical Tools ChartBook raster; prices are approximate to the labeled ticks (bonds in points, CRB in index points).

Educational research material, not investment advice. Historical source context does not establish present-day performance.
12 of 37 in the Correlation analysis track
19981-4 pp.Next on Correlation analysisGold as a cross-market regime barometerAcross 40 quarters from 1988 through 1997, gold and the dollar versus the German mark moved in opposite directions in 26 quarters, or 65 percent of the sample.
All readings on this track · 37 readings
  1. 1988Constructing a lead-aware correlation coefficient
  2. 1989A precious-metal price as a changing intermarket equation
  3. 1990Two clocks for copper: a factor regime, a regression baseline, and leftover moving-average timing
  4. 1990Earnings yield, rate correlation and regression for equity value
  5. 1991Name the window, then combine leaders
  6. 1991Constructing a two-market linear correlation check
  7. 1991Constructing a commodity-bond correlation regime filter
  8. 1992Building intermarket context with linear correlation
  9. 1993Inverse-scale overlays as a gold-equity regime filter
  10. 1994Constructing seasonal slots from windows, analog years, and implied volatility
  11. 1995Pin one reference close and roll companion correlations as an overlay
  12. 1995Rolling correlation windows for shifting intermarket regimes
  13. 1998Gold as a cross-market regime barometer
  14. 1999The gold-bond inverse is a regime, not a cause
  15. 1999A nested lag test of gold leading bond yields
  16. 1999Constructing spreads from stock and intermarket correlation
  17. 2000Evaluating headline versus food-and-energy-excluded CPI as bond-yield context
  18. 2005A late EUR/USD fifth wave tested by the Bund-Treasury gap
  19. 2006Intermarket dislocation as context for short-horizon momentum
  20. 2008Map ordinary 12-month outcomes before stacking valuation, rates, and seasonality
  21. 2008A clean-energy theme inside the oil-and-energy regime
  22. 2014Quantitative-easing overlays as fragile belief regimes
  23. 2015Three intermarket checks from the late-2014 crude decline
  24. 2015Basket construction via rank, correlation, and locked rules
  25. 2015Construct a CAD-oil pair from percent-of-range Bollinger maps
  26. 2015CAD/USD and crude: first the correlation, then the band gap
  27. 2017Correlation regime versus moving-average crossover for S&P 500 exposure
  28. 2017Updating intermarket systems after correlation shifts
  29. 2017Constructing a correlation-divergence regime filter for yen and Nikkei context
  30. 2018Clustered negative troughs in an energy-index pairwise correlation
  31. 2018Filter pairwise-correlation before reading an intermarket regime
  32. 2018Moving-average supports in the March 2018 correlation shock
  33. 2020Bond spreads as an equity regime lens
  34. 2020Crash-protection folklore as a correlation regime question
  35. 2020Constructing a bounded correlation-trend-filter
  36. 2020Constructing a correlation-to-line trend filter
  37. 2020Bitcoin correlation regimes across equities and gold
By fieldIntermarket and spreads148 readingsBy year199575 readings
All 52 readings tagged Correlation analysis
Also on Correlation analysis5 readings
1989A precious-metal price as a changing intermarket equation1990Earnings yield, rate correlation and regression for equity value1991Constructing a commodity-bond correlation regime filter1992Real bond yields as a deficit-share regime1993Inverse-scale overlays as a gold-equity regime filter