I have been thinking for a while about making trade-weighted currency indices for all the major currencies I trade. This is more complicated than it seems, because you have to get the trade data in order to do it, and I haven’t got round to it.

As a substitute, I have used the BIS triennial Forex Survey (summary here) trade volume weights (which sum to 200%, since every trade involves two currencies). These yield:

USD 85%
EUR 39%
GBP 15%
JPY 17%

I have bodged the AUD, CHF and NZD using the 45% allocation to “other”:

AUD 10%
CHF 10%
NZD 5%.

I think that these weights do not look totally unreasonable, but please tell me if you think they are. One day I will get round to making a trade-weighted index.

Here is the page, with coloured dots showing breakouts: