Correlation Matrix — bpleone / trade

Market Regime

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Avg Pair Correlation

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Across the matrix

Highest Correlation

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Tightest pair

Most Negative

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Strongest inverse

🌡 Correlation Matrix — 20-day rolling

Pearson on daily log returns · range -1 to +1

-1.0

+1.0 Diagonal = self (always 1.00)

⚖️ Pair-Trade Candidates

Pair	Correlation	2σ Z-score	Hist Vol	Direction	Setup

Full pairs analyzer →

📈 Correlation Regime — last 90 days

Rising = risk-off (correlations converge to 1.0 as everything sells together). Falling = risk-on / mean-reverting markets where stock-picking matters.

🧠 How to read this

High avg correlation (>0.6)

Risk-off regime. Stocks are one big trade. Diversification fails. Tighten stops, reduce gross exposure, watch for vol expansion.

Low avg correlation (<0.3)

Stock-picker's market. Individual catalysts drive moves. Trade size up on conviction names, use pair trades for relative value.

Correlation breaks

When a normally-correlated pair (NVDA/AMD, MSFT/META, etc) diverges by 2σ from historical norm, it's often a tradable mean-reversion setup. Watch the pair-trade table.