System Correlations

Analyze return correlations between trading systems to understand diversification benefits

Average Correlation

0.226

Excellent diversification

Lowest Correlation

-0.143

System 7 vs System 10

Highest Correlation

0.483

System 3 vs System 5

Weekly Correlation Matrix

System	System 1Amber	System 2Coral	System 3Emerald	System 4Ruby	System 5Garnet	System 6Sapphire	System 7Jade	System 8Peridot	System 9Lapis	System 10Zircon
System 1 Amber	1.000	0.186	0.469	0.248	0.410	0.418	0.392	0.426	0.200	0.089
System 2 Coral	0.186	1.000	0.283	0.353	-0.005	0.362	0.342	0.202	-0.142	-0.072
System 3 Emerald	0.469	0.283	1.000	0.291	0.483	0.464	0.301	0.442	0.073	0.229
System 4 Ruby	0.248	0.353	0.291	1.000	0.111	0.353	0.297	0.145	0.128	0.039
System 5 Garnet	0.410	-0.005	0.483	0.111	1.000	0.221	0.270	0.477	0.057	0.286
System 6 Sapphire	0.418	0.362	0.464	0.353	0.221	1.000	0.417	0.228	-0.011	0.020
System 7 Jade	0.392	0.342	0.301	0.297	0.270	0.417	1.000	0.275	0.115	-0.143
System 8 Peridot	0.426	0.202	0.442	0.145	0.477	0.228	0.275	1.000	0.151	0.174
System 9 Lapis	0.200	-0.142	0.073	0.128	0.057	-0.011	0.115	0.151	1.000	0.124
System 10 Zircon	0.089	-0.072	0.229	0.039	0.286	0.020	-0.143	0.174	0.124	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 7 vs System 10

-0.143

System 2 vs System 9

-0.142

System 2 vs System 10

-0.072

System 6 vs System 9

-0.011

System 2 vs System 5

-0.005

Highest Correlations

Most similar system pairs

System 3 vs System 5

0.483

System 5 vs System 8

0.477

System 1 vs System 3

0.469

System 3 vs System 6

0.464

System 3 vs System 8

0.442

Key Insights

Average correlation of 0.226 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.