System Correlations

Analyze return correlations between trading systems to understand diversification benefits

Average Correlation

0.211

Excellent diversification

Lowest Correlation

-0.032

System 2 vs System 9

Highest Correlation

0.488

System 3 vs System 6

Weekly Correlation Matrix

System	System 1Amber	System 2Coral	System 3Emerald	System 4Ruby	System 5Jade	System 6Sapphire	System 7Bixbite	System 8Peridot	System 9Lapis	System 10Kyanite	System 11Garnet	System 12Jasper	System 13Opal
System 1 Amber	1.000	0.210	0.474	0.312	0.374	0.410	0.183	0.398	0.203	0.207	0.347	0.211	0.147
System 2 Coral	0.210	1.000	0.320	0.363	0.372	0.387	0.151	0.174	-0.032	0.083	0.099	0.181	0.024
System 3 Emerald	0.474	0.320	1.000	0.381	0.357	0.488	0.105	0.385	0.130	0.191	0.435	0.343	0.161
System 4 Ruby	0.312	0.363	0.381	1.000	0.381	0.384	0.296	0.159	0.228	0.083	0.207	0.143	0.205
System 5 Jade	0.374	0.372	0.357	0.381	1.000	0.439	0.111	0.242	0.061	0.126	0.295	0.090	0.086
System 6 Sapphire	0.410	0.387	0.488	0.384	0.439	1.000	0.210	0.212	0.111	0.063	0.248	0.316	0.129
System 7 Bixbite	0.183	0.151	0.105	0.296	0.111	0.210	1.000	0.074	0.237	0.117	0.192	0.140	0.225
System 8 Peridot	0.398	0.174	0.385	0.159	0.242	0.212	0.074	1.000	0.116	0.169	0.396	0.162	0.193
System 9 Lapis	0.203	-0.032	0.130	0.228	0.061	0.111	0.237	0.116	1.000	0.033	0.090	0.092	0.089
System 10 Kyanite	0.207	0.083	0.191	0.083	0.126	0.063	0.117	0.169	0.033	1.000	0.177	0.163	0.002
System 11 Garnet	0.347	0.099	0.435	0.207	0.295	0.248	0.192	0.396	0.090	0.177	1.000	0.097	0.118
System 12 Jasper	0.211	0.181	0.343	0.143	0.090	0.316	0.140	0.162	0.092	0.163	0.097	1.000	0.148
System 13 Opal	0.147	0.024	0.161	0.205	0.086	0.129	0.225	0.193	0.089	0.002	0.118	0.148	1.000

Color Legend:

< 0.2 (Excellent)

0.2 - 0.4 (Good)

0.4 - 0.6 (Moderate)

> 0.6 (High)

Lowest Correlations

Most diversified system pairs

System 2 vs System 9

-0.032

System 10 vs System 13

0.002

System 2 vs System 13

0.024

System 9 vs System 10

0.033

System 5 vs System 9

0.061

Highest Correlations

Most similar system pairs

System 3 vs System 6

0.488

System 1 vs System 3

0.474

System 5 vs System 6

0.439

System 3 vs System 11

0.435

System 1 vs System 6

0.410

Key Insights

Average correlation of 0.211 indicates excellent diversification across the portfolio.

Low correlations mean systems are trading independently, which reduces portfolio drawdown while maintaining returns.

Higher correlations between some systems (particularly those trading the same instrument) are expected and still contribute to overall portfolio stability.