System Correlations

Analyze return correlations between trading systems to understand diversification benefits

Average Correlation

0.259

Excellent diversification

Lowest Correlation

0.017

System 1 vs System 9

Highest Correlation

0.489

System 3 vs System 6

Weekly Correlation Matrix

System	System 1Amber	System 2Coral	System 3Emerald	System 4Ruby	System 5Garnet	System 6Sapphire	System 7Jade	System 8Peridot	System 9Bixbite	System 10Kyanite
System 1 Amber	1.000	0.365	0.452	0.263	0.236	0.387	0.362	0.280	0.017	0.182
System 2 Coral	0.365	1.000	0.318	0.407	0.109	0.404	0.408	0.180	0.205	0.084
System 3 Emerald	0.452	0.318	1.000	0.376	0.432	0.489	0.338	0.397	0.118	0.190
System 4 Ruby	0.263	0.407	0.376	1.000	0.195	0.402	0.378	0.145	0.310	0.080
System 5 Garnet	0.236	0.109	0.432	0.195	1.000	0.260	0.287	0.399	0.206	0.169
System 6 Sapphire	0.387	0.404	0.489	0.402	0.260	1.000	0.444	0.228	0.217	0.086
System 7 Jade	0.362	0.408	0.338	0.378	0.287	0.444	1.000	0.251	0.119	0.122
System 8 Peridot	0.280	0.180	0.397	0.145	0.399	0.228	0.251	1.000	0.080	0.157
System 9 Bixbite	0.017	0.205	0.118	0.310	0.206	0.217	0.119	0.080	1.000	0.122
System 10 Kyanite	0.182	0.084	0.190	0.080	0.169	0.086	0.122	0.157	0.122	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 1 vs System 9

0.017

System 8 vs System 9

0.080

System 4 vs System 10

0.080

System 2 vs System 10

0.084

System 6 vs System 10

0.086

Highest Correlations

Most similar system pairs

System 3 vs System 6

0.489

System 1 vs System 3

0.452

System 6 vs System 7

0.444

System 3 vs System 5

0.432

System 2 vs System 7

0.408

Key Insights

Average correlation of 0.259 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.