Correlation of systems

Is there a possibility to get a correlation matrix of the collective2 systems?

I would also be interested in seeing that!


Please don’t take this the wrong way, but that idea would only work if you selected the systems yourself. Otherwise, there’s 10,000,000+ possible correlations and I don’t believe that’s useful to anybody.

Specifically, 10,000^2 or 10000*10000 possible correlations, which is not going to happen. I don’t recall what the system count on C2 is, but I think it’s around 10,000.

I know that’s 100,000,000, so, even then, it’s not a useful statistic without knowing which ones you’d like to compare.

Daily correlation of any two models offered by C2 would be very useful. Interestingly, monthly correlations can be very different from daily ones ( I assume correlations listed on C2 are daily. Please confirm, Matthew). For example, monthly correlation between RD30 and Buzo Principle is historically grater than 0.6 and is greater than 0.8 for the last few month. But the daily correlation as of today is listed on C2 as only 0.015! Thus using monthly correlations you can reject incorporating in portfolio two models that are in fact not correlated on daily bases. Building a portfolio from low correlated models is one of the best ways to proceed since correlations are relatively stable between different time periods but returns are less so.

Mathew, my wish is to have a tool to calculate daily correlations between any two models.


It would be a great advantage if you could set up a list of systems and display the correlation between the systems for a adjustable time period.

Are there any plans to bring such a function on the collective2 site?

I think this option is available on your API, but it would be much more comfortable to have it on the collective2 website.


I agree. This could become one of the strongest points of this site. I have found diversification is really important in my own system development and deployment.

Ideally, there would be 2 options:

1) list of best correlations to the system, for user defined time period

2) ability to select any system to correlate to, for any time period.