Correlation between different assets on an intraday basis ?

Hi All,


I have been looking in google but did not found much .

to reduce the volatility of my account , I would like to trade assets that have a low correlation on an intraday timeframe , so only daytrades .

For example what is the correlation between the S&P 500 with the EUR/USD ?

maybe someone can give a group of major assets that have very low correlation intraday

thanks…

 

Hi there - I am a bit confused: when you say "to reduce the volatility of my account " what are you referring to?

Is your PnL volatile?

What relationship is there between your account's volatility and a low correlation in any asset classes?

 

Here you go

https://www.mrci.com/special/correl.php

 

lowest time frame is 30 days.. would the same correlations hold intraday ?

 

Instead of trading my system just on 1 asset , I would spread it over ,for example 3 uncorreletad assets , that should reduce volatility , no ?

 

Ok, I understand what you're trying to do.

Because you mention intraday volatility, that depends on the product, on the day, on what economic releases may or may not affect the asset in question, and so on.

I am not an expert in systematic trading, but having a system, I suspect, should be predicated on having done some backtesting over a few markets prior to trading them.

Is it something you have done?

 

I have played around with intraday, 9:30 to 4, minute bar volatility correlations across a large basket of stocks. The correlations are constantly changing. There is loose clustering based on sectors but it also matters how much a stock moves based on the index.
I would try to pick stocks that dont seem like they would have much in common including index weightings and then do the analysis to see if they are ever correlated.
An example off the top of my head would be Kelogs, SNOW and a small cap gold miner. It seems like those would be independant of each other and you can then see piecewise if they ever become correlated intraday.

 

My systems trade many futures at same time, mostly USA, but also overseas futures. Indexes, currencies/forex, Financials, Metals and energies move somewhat together for me. So adding Meats, Softs, Grains help to diversify.

That is not to say everyday is profitable, some days automation can't overcome losses. So having a well back tested risk management plan added stops going broke.

 

I dont have a mechanical system , so just looking for uncorrelated assets

 

If you google "correlated assets" and then click on "images" you should find something useful

Maybe this can help as starting point

https://seekingalpha.com/article/262006-sector-and-asset-class-correlations