Strategy Correlation Management

Entry Logic

• Long entry: Before taking a trade, the correlation of the new strategy signal with the existing positions in the portfolio is checked. If the correlation is too high, the trade is skipped.
• Short entry: Same as above.
• Confirmation: The correlation matrix of the portfolio.
• Timeframe: Any.
• Location: Any.
• Market Condition: Any.

Exit Logic

• Profit Target: Not applicable.
• Scaling Out: Not applicable.
• Trailing Stop: Not applicable.
• Signal Failure: Not applicable.
• Opposite Signal: Not applicable.
• Time Expiration: Not applicable.
• Momentum Loss: Not applicable.

Stop Loss Structure

• Hard Stop: Not applicable.
• Soft Stop: Not applicable.
• Max Dollar Loss: Not applicable.
• Max Percent Loss: Not applicable.
• Structural Stop: Not applicable.

Risk Management Framework

• Risk Per Trade: Not applicable.
• Daily Limit: Not applicable.
• Weekly Limit: Not applicable.
• Max Drawdown: Not applicable.
• R:R Requirement: Not applicable.

Position Sizing Model

• Sizing Approach: Not applicable.
• Volatility Adjustment: Not applicable.
• Conviction Sizing: Not applicable.
• Scaling In: Not applicable.
• Scaling Out: Not applicable.

Trade Filtering

• Market Conditions: Any.
• Setups: The filter is based on correlation.
• Instruments: Any.
• Time Restrictions: Any.
• Chop/News Avoidance: Any.

Context Framework

• Trend Direction: Not applicable.
• VWAP Relationship: Not applicable.
• MA Relationship: Not applicable.
• Range Location: Not applicable.
• Higher TF Alignment: Not applicable.

Trade Management Rules

• Breakeven: Not applicable.
• Scale Out: Not applicable.
• Add Size: Not applicable.
• Fast vs Slow Moves: Not applicable.

Time Rules

• Optimal Window: Any.
• Times to Avoid: Any.
• Session Notes: An essential component of portfolio management.

Setup Classification

• A+ Setup: A new trade signal has a negative correlation with the existing portfolio.
• A Setup: The correlation is low.
• B Setup: The correlation is moderate.
• C Setup: The correlation is high.

Market Selection Criteria

• Instruments: Any.
• Volume: Any.
• Volatility: Any.

Statistical Edge Metrics

• Win Rate: Not applicable.
• Avg Win: Not applicable.
• Avg Loss: Not applicable.
• Profit Factor: Not applicable.
• Expectancy: Not applicable.

Failure Conditions

• Market Conditions: When correlations change unexpectedly.
• Specific Scenarios: A market crash where all correlations go to 1.

Psychological Rules

• Mental Discipline: A systematic and disciplined approach to portfolio construction.

Advanced Components

• Regime Detection: Not applicable.
• Filters: The correlation filter is the core of the strategy.
• Correlation: The core of the strategy.
• MTF Alignment: Not applicable.

Location

• Strongest: In all market conditions.
• Weakest: In a black swan event.