CSI Currency Strength

The Currency Strength Index (CSI) ranks G10 currencies in real time using a multi-lookback momentum model. Unlike single-period approaches that produce a cliff-edge artifact when bars roll off the lookback window, CSI calculates weighted Z-scores across short, medium, and long time horizons and combines them into a single smooth composite score.

How it works

For each currency, price returns are computed against a basket of counterparts across three lookback periods. Each period produces a Z-score that is then combined using configurable weights. The result is a continuous strength reading that responds to recent momentum without being distorted by a single arbitrary lookback length.

Currencies covered

USD, EUR, GBP, JPY, CHF, CAD, AUD, NZD, NOK, SEK

Use cases

Identifying the strongest and weakest currency in a session before selecting a pair to trade. Confirming directional bias when combined with price action. Filtering carry trade candidates by momentum alignment.

Parameters

• Lookback Short / Medium / Long — configurable lookback periods
• Weight Short / Medium / Long — relative contribution of each horizon
• Display mode — bar chart or line

Part of the Global Investing toolkit

globalinvesting.github.io