Currency correlation
A correlation figure without its window is an incomplete statement. Change the window on the same data and the number changes - sometimes its sign.
Why it uses returns, not prices
Correlating two price levels that both drift upward produces a large number describing the drift rather than the relationship. Two currencies could move on entirely different days and still score highly, because both series happen to end higher than they started. Period-to-period returns remove that, which is why this computes them first and why a figure calculated on levels is usually much larger and much less useful.
The window is part of the answer
The same two series can give a strong positive correlation over two hundred periods and a strong negative one over the last five. Neither is wrong - they are answers to different questions, and a coefficient quoted without saying which window it came from has hidden the assumption that produced it. That is why the window is required here rather than defaulted silently, and why it appears in the result.
What this tool will not tell you
Whether the relationship will hold. Correlations between currencies change with what is driving the market, and they tend to rise in exactly the conditions that produce large moves - so a comfortable reading from a calm period is the least reliable one. Nothing here is a recommendation about position sizing or which pairs to hold.
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