Suppose I have several time series (these are financial series, prices, indicators) with the same time. There may be two or more.

I don’t know what relationships there are between the series, correlations, cointegrations, non-linear relationships, or there are no relationships at all ...

1. I would like to automatically find out if there are connections and what
2. I would like to simulate these series with connections

Here is an example of the data I am using

library(quantmod)
 getFX("EUR/USD")
 getFX("GBP/USD")
eu <- as.vector(EURUSD$EUR.USD)
gb <- as.vector(GBPUSD$GBP.USD)
library(TTR)
roll.cor <- TTR::runCor(eu,gb , n = 5)
rsi <- TTR::RSI(eu,n = 5)
mydata <- cbind(eu,gb,roll.cor,rsi)

> mydata
             eu       gb    roll.cor        rsi
  [1,] 1.177237 1.372932          NA         NA
  [2,] 1.179440 1.376770          NA         NA
  [3,] 1.179474 1.376679          NA         NA
  [4,] 1.179910 1.376033          NA         NA
  [5,] 1.181616 1.376859  0.83911455         NA
  [6,] 1.182466 1.376244 -0.15342956 100.000000
  [7,] 1.185494 1.380270  0.84880800 100.000000
  [8,] 1.188066 1.384948  0.95413564 100.000000
  [9,] 1.187910 1.386290  0.97020360  97.715547
 [10,] 1.187945 1.386288  0.98141920  97.730090
 [11,] 1.186888 1.384056  0.95570036  78.794634
 [12,] 1.186068 1.380795  0.93082598  66.331768
 [13,] 1.182712 1.377056  0.97051123  36.664213
 [14,] 1.182410 1.381155  0.82146557  34.907988

I have a trading strategy that works on this historical data, I would like to simulate many hundreds of years of similar data in order to test the strategy better and also find more optimal parameters...

I found a SimMultiCorrData package that might be suitable for this purpose, it is quite complex and I never found an example in numerous vignettes