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quote EUR/USD split by GBP/USD = EUR/USD x USD/GBP = EUR/GBP (If you doubt that price follows the algebra, take EURUSD's current bid price, divide it by GBPUSD's, and compare the outcome to EURGBP's -- that the variance should be less than 0.5 pips). It follows that, if EURUSD and GBPUSD were perfectly correlated, EURGBP would move sideways in a straight line. To whatever extent EURGBP moves away from this line, the correlation breaks down, EURUSD and GBPUSD diverge, and your egy will lose money. Or put another way, you might as well just...