SPEC-EAV-001 v0.2 · Layer L2 Risk management
K-06 Correlation of concurrent positions
K-06 tests whether positions held at the same time are genuinely diversified. Overlapping positions are grouped, and the directional agreement of their results is measured alongside their combined exposure.
What it examines
Positions whose holding periods overlap, and the agreement of their outcomes.
How it is computed
Group positions by overlapping time. Compute directional agreement of results and total exposure for each group. Where risk snapshots are supplied, exposure is read directly.
What a defect means
If several strategies or currency pairs are run concurrently but their results move together, this is not diversification. It is one bet repeated.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- Are my EA's concurrent positions actually diversified?
- How do I measure correlation between trades from a trade history?
Related items
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21