How to balance two Forex crosses correctly to do a linear regression?

External question — Quantitative Finance Stack Exchange Author: Dail Original post: https://quant.stackexchange.com/questions/2506 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I have two cross and an account in EUR: EUR/USD GBP/USD I would like to do a balanced linear regression using R. With "balanced" I mean that I would like to normalize it by calculating the difference in pips from the previous day and the current, and then multiply by the respective (middle) pip value. I do a simple example: The series are: EUR/USD 1.3000 1.3050 1.3060 GBP/USD 1.6000 1.6050 1.6060 The differences are: EUR/USD 50 pips (1.3000 - 1.3050) 10 pips (1.3050 - 1.3060) GBP/USD 50 pips (1.6000 - 1.6050) 10 pips (1.6050 - 1.6060) Now, calculate (the values are inventend) the middle pip values: (remember that account currency in EUR) EUR/USD 13 € pip value (at middle pip: 1.3025) 13.5 € pip value (at middle pip: 1.3055) GBP/USD 9 € pip value (at middle pip: 1.6025) 8.5 € pip value (at middle pip: 1.6055) Now the normalized series that I studied should be: EUR/USD 50(pip difference) * 13€ = 650 10(pip difference) * 13.5€ = 135 GBP/USD 50(pip difference) * 9€ = 450 10(pip difference) * 8.5€ = 85 The normalized series are: EUR/ USD: 650, 135 GBP/USD: 450, 85 What do you think of this type of procedure? (then I will use those series in the linear regression)