Scripts: Portfolio Correlation Analyzer

 

Portfolio Correlation Analyzer:

Read-only analytics for accounts that run several Expert Advisors. It groups closed trades by magic number and measures what running those systems together actually saves you: standalone versus combined drawdown, the pairwise correlation matrix drawn as a heat map on the chart, and a Monte Carlo reshuffle of the portfolio's period returns.

Portfolio Correlation Analyzer

Author: Seckin Erkut