Fundamental analysis Market interconnections

Oil, the Canadian Dollar and the Norwegian Krone on Lower Timeframes

Elena Berseneva 28 june 2022 37

In one of our studies with a similar title "Connection between Oil, the Canadian Dollar, and the Norwegian Krone", a weak inverse relationship between changes in the oil price and the rates of the Canadian dollar and the Norwegian krone has been found. The search for dependence in it was implemented by weeks.

 

In the presented article, we will continue the study of the presence and degree of connection, but already on the daily, hourly and 15-minute timeframes.

Hypothesis
To conclusion

The change in the price of oil "today" is followed by a co-directional change in the rates of the Canadian dollar and the Norwegian krone "tomorrow". And vice versa.

К выводам
Data used

1. Historical data of Brent Crude Oil futures quotes.

  • Timeframe: D1. History from June 1988 to December 2020. There are 8,167 values in total.
  • Timeframe: H1. History from August 2007 to December 2020. There are 52,792 values in total.
  • Timeframe: M15. History from December 2014 to December 2020. There are 134,422 values in total.


2. Historical data of USDCAD quotes.

  • Timeframe: D1. History from January 1982 to December 2020. There are 10,101 values in total.
  • Timeframe: H1. History from May 2003 to December 2020. There are 107,814 values in total.
  • Timeframe: M15. History from June 2015 to December 2020. There are 136,832 values in total.


3. Historical data of USDNOK quotes.

  • Timeframe: D1. History from February 2006 to December 2020. There are 3,869 values in total.
  • Timeframe: H1. History from August 2007 to December 2020. There are 82,950 values in total.
  • Timeframe: M15. History from December 2016 to December 2020. There are 99,383 values in total.


4. Historical data of EURCAD quotes.

  • Timeframe: D1. History from December 1979 to December 2020. There are 10,568 values in total.
  • Timeframe: H1. History from June 2004 to December 2020. There are 101,430 values in total.
  • Timeframe: M15. History from June 2015 to December 2020. There are 136,883 values in total.


5. Historical data of EURNOK quotes.

  • Timeframe: D1. History from August 2007 to December 2020. There are 3,473 values in total.
  • Timeframe: H1. History from August 2007 to December 2020. There are 82,731 values in total.
  • Timeframe: M15. History from May 2017 to December 2020. There are 90,089 values in total.


6. Historical data of CADJPY quotes.

  • Timeframe: D1. History from January 1982 to December 2020. There are 10,113 values in total.
  • Timeframe: H1. History from February 2007 to December 2020. There are 85,132 values in total.
  • Timeframe: M15. History from June 2015 to December 2020. There are 137,196 values in total.


7. Historical data of NOKJPY quotes.

  • Timeframe: D1. History from April 2012 to December 2020. There are 2,260 values in total.
  • Timeframe: H1. History from April 2012 to December 2020. There are 38,646 values in total.
  • Timeframe: M15. History from May 2017 to December 2020. There are 89,813 values in total.


Analysis of the obtained results 



Daily timeframe


Let's trace the connection between changes in the oil price and the rate of the Canadian dollar and the Norwegian krone by days for the whole history, from 2016 to 2020 (for 5 years) and separately for 2016-2020 using the correlation coefficient (red line - weak connection, yellow - moderate, green - conspicuous):

The history of 33 years shows a weak positive relationship between changes in the oil price and the rate of the Canadian dollar, the history of the last 5 years shows a moderate direct connection. During 2016-2020, the connection has gone from conspicuous to moderate.

 

The history of 15 years shows a moderate positive relationship between changes in oil prices and the Norwegian krone, the history of the last 5 years also shows a moderate positive connection. During 2016-2020 the connection was being weakened a little, but in 2020 it became moderate and close to conspicuous again.

 


Let's look at the changes in the price of oil and the rates of the Canadian dollar and the Norwegian krone through correlation with shifts of 7 days back and forth.

We can see that changes in the price of oil and the rates of the Canadian dollar and the Norwegian krone do not follow each other, since the correlation coefficient at shifts does not reach the value of 0.1 modulo.


 

Hourly timeframe

 

Let's trace the connection between changes in the price of oil, the Canadian dollar and the Norwegian krone by hours for the whole history, from 2016 to 2020 (for 5 years) and separately for 2016-2020 using the correlation coefficient (red line - weak connection, yellow - moderate, green - conspicuous):

The history of 14 years shows a weak positive relationship between changes in the price of oil and the exchange rate of the Canadian dollar, the history of the last 5 years shows a moderate direct connection. During 2016-2020 the connection was being weakened, but in 2020 it became moderate again.



Let's look at the changes in the price of oil and the rates of the Canadian dollar and the Norwegian krone through correlation with shifts of 8 hours back and forth.

We can see that changes in the price of oil and the rates of the Canadian dollar and the Norwegian krone do not follow each other, since the correlation coefficient at shifts does not reach the value of 0.1 modulo.


 

15-minute timeframe

 

Let's trace the connection between changes in the price of oil, the Canadian dollar and the Norwegian krone by hours for the whole history, from 2016 to 2020 (for 5 years) and separately for 2016-2020 using the correlation coefficient (red line - weak connection, yellow - moderate, green - conspicuous):

The history of 6 years shows a moderate positive relationship between changes in the price of oil and the exchange rate of the Canadian dollar, the history of the last 5 years also shows a moderate direct connection. During 2016-2020 the connection was being weakened, changing from close to conspicuous to weak, but in 2020 it became moderate again.

 

The history of 5 years shows a weak positive relationship between changes in the price of oil and the exchange rate of the Norwegian krone. During 2016-2020, connection tended to be moderate.


 

Let's look at the changes in the price of oil and the rates of the Canadian dollar and the Norwegian krone through correlation with shifts in 8 intervals of 15 minutes back and forth.

And we can see again that changes in the price of oil and the rates of the Canadian dollar and the Norwegian krone do not follow each other, since the correlation coefficient at shifts does not reach the value of 0.1 modulo.

Conclusion

Oil vs the Canadian dollar


On the daily and hourly timeframes, a weak direct connection between changes in the price of oil and the Canadian dollar exchange rate has been revealed. In 2020, the direct relationship was moderate.


A moderate direct relationship has been revealed on the 15-minute timeframe. In 2020, the trend has continued.



Oil vs the Norwegian krone


On the daily timeframe, a moderate direct relationship has been revealed between changes in the price of oil and the exchange rate of the Norwegian krone. In 2020, the trend has continued.


On the hourly and 15-minute timeframes, a weak direct relationship has been revealed. In 2020, the direct relationship was moderate.



Changes in oil prices and rates of the Canadian dollar and the Norwegian krone do not follow each other. The opportunity to make money on the backlog of the Canadian dollar and the Norwegian krone from the oil rate has not been identified.

Detailed results are shown in the Appendix: 

XLSX (0.15 MB)Oil, the Canadian dollar and the Norwegian krone on low timeframes.xlsx

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