Correlation Matrix

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1. What This Tool Does

EP_CorrelationMatrix is a free, standalone TradeStation TradingApp that shows how closely a group of futures markets move together — useful for spotting genuine diversification versus markets that just duplicate each other's risk. Type in a handful of markets, and it hands back a color-coded grid showing how correlated every pair actually is, based on their real daily price history.

A list of markets → a color-coded correlation matrix, based on daily returns

This is correlation between markets — not between strategies, and not based on any trades. It compares each market's own daily price movement against every other market's.

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1.1 Who Is This For

Built for anyone who wants a quick, honest read on whether the markets they're trading (or considering trading) actually diversify each other, without owning the paid EdgeProof app.

You do not need to be a programmer. Everything is point-and-click. The only prerequisite is TradeStation itself.

1.2 How It Fits Into Your TradeStation Workflow

EP_CorrelationMatrix is a stand-alone TradingApp — no chart required, and no dependency on the paid EdgeProof app. Open it from TradeStation Apps like any other TradingApp; it stays available for the life of your session.

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2. Installation

1. Import (double-click) EP_CorrelationMatrix.eld.
2. In any Workspace, go to the TradeStation Apps and click on EP_CorrelationMatrix.

That's it — there's no separate installer and nothing to configure before first use.

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3. Quick Start

1. Set the Folder (§4.1) — this is where each market's price history gets saved.
2. Enter 2 to 8 comma-separated markets in Symbols (e.g. @ES,@NQ,@RTY).
3. Set Last Date and History (§4.2).
4. Click Run Correlation.

The click returns immediately — the tool fetches each market's price history in the background, and once at least two have come back successfully, it builds and displays the matrix.

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4. Field Reference

4.1 Settings

4.2 Data Settings

Every market's daily closing price is used for this comparison — that's the standard basis for market correlation, and it's not something you need to configure.

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5. Reading the Results

5.1 Correlation Matrix

One row and one column per market, showing the correlation between every pair — a value from -1.00 (move in exactly opposite directions) to +1.00 (move in exact lockstep). The diagonal (a market compared with itself) always reads 1.00 and is left white — comparing a market to itself isn't a meaningful result.

Color reflects strength, not direction:

• Green — the pair moves largely independently. Good for diversification — these markets aren't duplicating each other's risk.
• Red — the pair is strongly coupled, whether that's a strong positive or strong negative correlation. Either way, these markets are telling you largely the same thing, which matters just as much for diversification as a plain positive correlation does.

5.2 Messages

Status and error log — each market's fetch is logged as it completes, and failures print in red. Ends with a one-line summary once fetching is done.

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6. Tips & Troubleshooting

A failed market doesn't stop the run. If one market fails to fetch (bad symbol, no data available), the tool logs it and continues with the rest — the matrix still builds from whatever succeeded, as long as at least 2 markets came back.

Price history files are permanent, not scratch. Each market's daily price CSV in your chosen Folder is a real file, not deleted automatically.

Common issues:

• Run Correlation stays grayed out — a run is still in progress. Wait for the Messages summary line.
• "Enter at least 2 comma-separated markets" — the Symbols field needs at least 2 valid entries to compare anything.
• "Please limit to 8 markets or fewer" — trim the Symbols list; this cap keeps the tool fast and the matrix readable.
• A market shows Failed in Messages — usually a bad symbol or a data issue with that specific market, not the tool itself.