Ok so iāve correlation table and standard deviation table. thats really good

Weāve all the data we need, now I need someone very good with excel, to turn my 2 risky assets portfolio into a 26 one xD
Iāll try myself but I dont think i can do it. Only thing I can do is sort up the data in the proper way

While searching the web I found an article by RON SCHELLING related to Forex Portfolio. It concentrate on the Forex market ranking. I hope this can be of use for you guys.

I couldnāt post the link here as I am still new at babypips, however you can simply google for āRON SCHELLING forex portfolioā and youāll get it at top of the search list.

Thx for your post! I saved out Schellingās work: iām gonna read it asap

@Richard: those standard deviations are really small (usually around 2% as u can see) and then we have some spike up to 200-400% with the yen crosses, is this normal?

The first seems too small, and the second too big! Are you sure about the correct computation of the formula?

Ļ= [[(Daily value1 - mean of all 365days)^2+(Daily value2 - mean of all 365days)^2+(Daily value3 - mean of all 365days)^2+ā¦+(Daily value n - mean of all 365days)^2]/364]^1/2

To be honest, I cheated and used the built in standard deviation formula in R, wich just takes a list of prices, and gives me the standard deviationā¦

i think, just like you cryagony, that the expected return is going to be a pain in the a**. actually iām not really sure if this type of analysis does make sense at all in FX because exchange rates are (mostly) mean reverting. thus if you estimate the historical expected return for the last year, this will not be an indicator for the return in the following year. probably quite the opposite. but still interested to see where this is heading

Richard, Iām an idiot Youāre right and I omitted to tell you a step, sorry. We need standard deviation in %. So I need you to do a further step.

For each value that you found, I need you to do the further operation:

Ļ%= (Ļ/ aritmetical mean of the pair)x100

Let me know when you got the data

for aritmetical mean i mean (sorry the trick here hih): eg: sum of all the 365 close candles (or highs or lows etc etc)/365. Easy as that

with mean reverting you refer to correlation, right? Check out the table of correlation uploaded by Richard, and youāll notice how this is not so true Many many pairs have really small correlation, and THOSE pairs will be the ones forming our portfolio, due to smaller standard deviation (ie risk) and higher reward-to-volatility (Sharpe) ratio. Iāve already spotted some interesting pairs

But thatās one step ahead ^_-

Right now, Iām desperatly in need of someone with good excel skills !!

Thx for your all interest and help, all ideas welcome !

Ah wait! I ahd to watch the last column before! Right! Sorry lol, Itās because I saw the first columns and the numbers were the same. Yes thatās it

Hey Richard, Can you pack those sd% in a txt file like always so that I can paste it easily in excel? and can you attach also the same results using hi-lo instead of close?

Many thx for all your kind help!! We are nearly done racking up datas