System Correlations

Analyze return correlations between trading systems to understand diversification benefits

Average Correlation

0.250

Excellent diversification

Lowest Correlation

-0.026

System 2 vs System 9

Highest Correlation

0.487

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 9Lapis	System 10Kyanite
System 1 Amber	1.000	0.214	0.467	0.298	0.341	0.431	0.371	0.417	0.184	0.206
System 2 Coral	0.214	1.000	0.323	0.372	0.108	0.397	0.379	0.188	-0.026	0.075
System 3 Emerald	0.467	0.323	1.000	0.372	0.425	0.487	0.339	0.388	0.112	0.191
System 4 Ruby	0.298	0.372	0.372	1.000	0.202	0.386	0.369	0.155	0.222	0.071
System 5 Garnet	0.341	0.108	0.425	0.202	1.000	0.250	0.281	0.403	0.087	0.172
System 6 Sapphire	0.431	0.397	0.487	0.386	0.250	1.000	0.436	0.226	0.111	0.070
System 7 Jade	0.371	0.379	0.339	0.369	0.281	0.436	1.000	0.258	0.061	0.121
System 8 Peridot	0.417	0.188	0.388	0.155	0.403	0.226	0.258	1.000	0.119	0.162
System 9 Lapis	0.184	-0.026	0.112	0.222	0.087	0.111	0.061	0.119	1.000	0.035
System 10 Kyanite	0.206	0.075	0.191	0.071	0.172	0.070	0.121	0.162	0.035	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

-0.026

System 9 vs System 10

0.035

System 7 vs System 9

0.061

System 6 vs System 10

0.070

System 4 vs System 10

0.071

Highest Correlations

Most similar system pairs

System 3 vs System 6

0.487

System 1 vs System 3

0.467

System 6 vs System 7

0.436

System 1 vs System 6

0.431

System 3 vs System 5

0.425

Key Insights

Average correlation of 0.250 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.