System Correlations

Analyze return correlations between trading systems to understand diversification benefits

Average Correlation

0.328

Good diversification

Lowest Correlation

0.108

System 2 vs System 5

Highest Correlation

0.485

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 1 Amber	1.000	0.365	0.455	0.262	0.235	0.387	0.363	0.282
System 2 Coral	0.365	1.000	0.317	0.406	0.108	0.400	0.408	0.178
System 3 Emerald	0.455	0.317	1.000	0.375	0.431	0.485	0.344	0.397
System 4 Ruby	0.262	0.406	0.375	1.000	0.194	0.401	0.376	0.144
System 5 Garnet	0.235	0.108	0.431	0.194	1.000	0.260	0.286	0.397
System 6 Sapphire	0.387	0.400	0.485	0.401	0.260	1.000	0.447	0.223
System 7 Jade	0.363	0.408	0.344	0.376	0.286	0.447	1.000	0.256
System 8 Peridot	0.282	0.178	0.397	0.144	0.397	0.223	0.256	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 5

0.108

System 4 vs System 8

0.144

System 2 vs System 8

0.178

System 4 vs System 5

0.194

System 6 vs System 8

0.223

Highest Correlations

Most similar system pairs

System 3 vs System 6

0.485

System 1 vs System 3

0.455

System 6 vs System 7

0.447

System 3 vs System 5

0.431

System 2 vs System 7

0.408

Key Insights

Average correlation of 0.328 indicates good 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.