Signal Lab

FX Pairs Trading Analysis

Explore correlations between FX pairs and identify mean-reversion opportunities. Select pairs, view the correlation matrix, and analyse rolling z-scores for any pair combination.

Select Currency Pairs

Rolling Window

Start Date

End Date

Correlation Matrix

Normalised Prices Base 100

Spread Z-Score

How It Works

Correlation

Pearson correlation is computed on daily log-returns of each pair over the full date range. Values near +1 indicate pairs that move together; near −1 indicates inverse movement.

Z-Score

The spread ratio (price₁ / price₂) is computed daily. A rolling mean and standard deviation over the chosen window then produces the z-score: how many standard deviations the current spread is from its rolling mean.

Mean Reversion

Z-scores beyond ±2 suggest the spread is stretched. Pairs traders may consider entering when z > +2 (short the spread) or z < −2 (long the spread), expecting reversion to the mean.

Data Source

Spot rates are source-labelled official reference rates served by the FXMacroData API. Direct, inverse, cross-derived, peg-based, monthly-expanded, and annual-expanded values are labelled in the API response metadata.

Disclaimer: This tool is for educational and informational purposes only. Correlation is not causation and past spread behaviour does not guarantee future mean reversion. Always conduct independent analysis before trading.