AUDJPY vs S&P 500

6 Month comparison of AUDJPY and SP 500

3 Month comparison of AUDJPY and SP 500

From Sept 17th to now comparison of AUDJPY and SP 500

The correlation appears to breakdown around the first week in October.
The 6 month return difference is ~8.5%
The 3 month return difference is ~ 2%
Since Sept 17th return difference is ~4.1%

It seems that a correction to this broken correlation is over due and maybe in the works.
Scenario 1) AUDJPY Rises
Scenario 2) S&P500 Falls
Scenario 3) They meet in the middle AUDJPY Rises and S&P500 Falls

Previous slides have Analysis of S&P 500 So here is the AUDJPY pair

Daily chart

Looks like this pair is at a critical juncture. It has reached the top of this bear channel.  It is now below the 20,50,200 MAs.  If there was a serious break down test of the Cyan line is expect.  Any serious breaks of that might find support at the 72 level and then ultimately the bottom of the channel.

Slow Stoch appears relatively bullish as it is currently over sold.
MACD signal is a sell as we have just crossed the 0 level this week. Stronger negative tick on the histogram = shorter timeframe momentum is down.
ADX is signally strong trend to the downside.

4 hour chart to see short term levels clearer.

I did some quick correlation calculation on the AUDJPY and S&P 500.

Approximately a 7.5% change in correlation between the bottom in 2009 to now and Sept 21st to now.

Here is a graph I generated by calculating the 20 day moving correlation.  (NOTE: 20 days was just a time window to smooth out the data, any time sample could work and even improve this graph.)

What I can see from the graph is that above a 60% correlation appears to be the norm, however breakdowns do occur.  In our current situation the correlation looks like it is trying to strengthen.  The breakdown peaked during the 20 days spanning the last week in September to the first two weeks in October.