CorrelEdge
- Indicatori
- Versione: 1.0
- Attivazioni: 5
CorrelEdge — Multi-Asset Correlation Signal Indicator
Most indicators watch one asset. CorrelEdge watches four — simultaneously. By tracking the real-time correlation matrix between Gold, Silver, EUR/USD and GBP/USD, the indicator identifies statistically significant divergences that historically revert to the mean.
Mathematical Foundation
CorrelEdge uses a rolling covariance matrix (N=100 periods) to compute a Z-Score for all 6 correlation pairs. A signal only fires on a statistically rare deviation (|Z| > 2.6) — protected by two filters:
- ADX Filter: No signals during strong trends (ADX > 30)
- Eigenvalue Filter (λ₁): No signals during unstable market regimes (risk-off panic)
Backtest Results (2024–2026)
- Sharpe Ratio: 1.307
- CAGR: +5.56%
- Max Drawdown: -3.15%
- Win Rate: 59.1%
- Profit Factor: 3.32
- 44 trades over 2 years
Features
- Draggable live panel with all 6 Z-Scores in real time
- Color-coded signal display (green/yellow/red)
- Permanent BUY/SELL arrows on chart for historical reference
- Fully configurable parameters
- Compatible with broker suffix symbols (e.g. XAUUSDc)
Recommended Usage
Timeframe: D1 (Daily) | Primary chart: XAUUSD | All 4 symbols must be available in Market Watch.
