Anyone here trade correlations?

Greetings, Just wondering if anyone here trades currency or other asset correlations as a main strategy.

How do you currently approach it?

 

From the left, with one arm tied behind my head

 

Interesting approach. Lol. Can you elaborate?

 

I'm working on Calibrating a model where there is a parameter that specifies the correlation between spx and vix . You are probably thinking of something like pairs trading tho. In practice this coefficients is usually -0.76 meaning vix pops when spx drops 75% of the time

 

You can do correlation analysis without pairs trading.

wrbtrader

 

Sounds intricate. What is a good outcome for your model e.g. maximum risk adjusted return, max drawdown given risk etc...

What are you trying to achieve via the correlation and how do you model it.

 

I only use it to avoid double exposure, which is hard today because stonks are all one market.

 

How do you mean.

 

yes, via options...not dispersion, though

 

Making a living by earning money what kind of question is that? The quadratic super rough lifted heston process .