fx-quant/results/phase2/correlation_analysis.json

{
  "S7_S3_signal_overlap": {
    "overlap_count": 5,
    "same_dir": 5,
    "opposite_dir": 0,
    "ratio": 0.065
  },
  "pnl_correlation": {
    "S7_Tight_vs_S9_Filtered": -0.054,
    "S7_Tight_vs_S3": 0.072,
    "S7_Tight_vs_S8_OB": 0.055,
    "S9_Filtered_vs_S3": -0.05,
    "S9_Filtered_vs_S8_OB": 0.036,
    "S3_vs_S8_OB": 0.109
  },
  "avg_pairwise_correlation": 0.028,
  "temporal_overlap": {
    "S7_Tight_vs_S9_Filtered": {
      "trade_days_a": 38,
      "trade_days_b": 50,
      "shared_days": 5,
      "jaccard_index": 0.06
    },
    "S7_Tight_vs_S3": {
      "trade_days_a": 38,
      "trade_days_b": 111,
      "shared_days": 6,
      "jaccard_index": 0.042
    },
    "S7_Tight_vs_S8_OB": {
      "trade_days_a": 38,
      "trade_days_b": 51,
      "shared_days": 2,
      "jaccard_index": 0.023
    },
    "S9_Filtered_vs_S3": {
      "trade_days_a": 50,
      "trade_days_b": 111,
      "shared_days": 11,
      "jaccard_index": 0.073
    },
    "S9_Filtered_vs_S8_OB": {
      "trade_days_a": 50,
      "trade_days_b": 51,
      "shared_days": 7,
      "jaccard_index": 0.074
    },
    "S3_vs_S8_OB": {
      "trade_days_a": 111,
      "trade_days_b": 51,
      "shared_days": 11,
      "jaccard_index": 0.073
    }
  },
  "portfolio": {
    "total_trades": 289,
    "win_rate_pct": 54.0,
    "profit_factor": 1.37,
    "total_pnl_pips": 1732.1,
    "total_pnl_dollars": 23424.02,
    "max_drawdown_pct": -21.06,
    "sharpe_ratio": 1.29,
    "expectancy_pips": 5.99
  }
}