This is a good resource for a very basic look at correlation. It's for ETFs but you can find corresponding ones for futures.
http://www.mrci.com/special/corr180.php Nice correlation matrix for several popular futures instruments.
That site you linked to only supports backtesting 5 years worth of data which renders any backtest result slightly better than worthless.
Watch videos from below site to get an idea of using multiple un-correlated strategies together. Many other topics covered as well. Just for educational purposes. https://algorithmictrading.net
I have about 200 auto systems that have been profitable at various times in the past 15 years or so. I am currently running three systems that have been profitable for the last year. In my experience, auto systems work for a while and then the market changes and a different system is needed. I have never sold any of my systems, though I would happily accept payment if anyone offered. I have given away several of my systems to various fellow traders. Here's a freebie for you: Buy Home Depot during the last 5 minutes of trading every day but Tuesday; sell it at the open the next day. This has been working several years. Of course, it could stop working any day now...
All systematic/fixed trading systems, as far as I'm concerned,are weird and silly and rather dumb and close-minded and square. I don't understand or see how someone can reasonably expect to win and survive and thrive doing that. I say this alot...but trading is part art, part science...everyday, each unique chart. your avatar face looks like a cross between actors Charles Grodin and Steve Martin. Make Trading Great Again 2018,...High-Five` ET extraterrestrial
Read up on Renaissance...checkout their stats. http://www.marketfolly.com/2010/06/renaissance-technologies-medallion-fund.html