🔬 Signal Diagnostics & Weight Optimizer
Correlation, redundancy, and optimal weight analysis for 9-signal composite
📊 Signal Correlation Matrix
| RORO | FOMC | PC_OI | VPOC | CorrDiv | DOW | GapFade | VIX_TS |
|---|
| RORO | — | +0.08 | +0.09 | -0.16 | +0.03 | +0.01 | -0.27 | -0.26 |
| FOMC | +0.08 | — | -0.01 | -0.08 | +0.02 | +0.02 | -0.10 | -0.00 |
| PC_OI | +0.09 | -0.01 | — | +0.12 | +0.07 | +0.15 | +0.03 | +0.03 |
| VPOC | -0.16 | -0.08 | +0.12 | — | -0.03 | -0.09 | +0.44 | +0.11 |
| CorrDiv | +0.03 | +0.02 | +0.07 | -0.03 | — | +0.00 | -0.05 | -0.05 |
| DOW | +0.01 | +0.02 | +0.15 | -0.09 | +0.00 | — | -0.10 | -0.14 |
| GapFade | -0.27 | -0.10 | +0.03 | +0.44 | -0.05 | -0.10 | — | +0.20 |
| VIX_TS | -0.26 | -0.00 | +0.03 | +0.11 | -0.05 | -0.14 | +0.20 | — |
🟢 Low correlation (diversified) · 🔴 High correlation (redundant) · Threshold: |r| > 0.30
⚠️ Redundancy Alerts
🟡 VPOC ↔ GapFade: r=+0.438
🎯 Predictive Power (Signal → Next-Day ES Return)
| Signal |
Correlation |
N Days |
Mean IC |
IC IR |
IC % Pos |
Recent IC |
| PC_OI |
+0.0887 |
479 |
+0.1070 |
0.73 |
27% |
-0.0049 |
| GapFade |
-0.0706 |
282 |
-0.0138 |
-0.09 |
10% |
+0.0842 |
| VIX_TS |
+0.0702 |
653 |
+0.1140 |
1.00 |
42% |
+0.0751 |
| VPOC |
+0.0613 |
282 |
+0.0865 |
1.23 |
18% |
+0.0157 |
| RORO |
+0.0551 |
1187 |
+0.0536 |
0.44 |
62% |
-0.1050 |
| CorrDiv |
+0.0239 |
1189 |
+0.0096 |
0.08 |
51% |
+0.2038 |
| FOMC |
+0.0205 |
1258 |
+0.0123 |
0.11 |
51% |
-0.0068 |
| DOW |
-0.0119 |
1258 |
-0.0100 |
-0.10 |
46% |
+0.0047 |
IC = Information Coefficient (rolling 60-day correlation with fwd returns) · IC IR = IC Mean / IC Std · Higher = more consistent
⚖️ Weight Optimization (Mean-Variance)
Current Weights
IS: 0.56
2.39
OOS Sharpe
MV Optimized
IS: 0.85
1.26
OOS Sharpe
Equal Weight
IS: 0.61
1.77
OOS Sharpe
IS: 881 days · OOS: 377 days
| Signal |
Current Weight |
Optimized Weight |
Delta |
| RORO |
20%
|
25%
|
+5% |
| FOMC |
3%
|
35%
|
+32% |
| PC_OI |
10%
|
0%
|
-10% |
| VPOC |
20%
|
3%
|
-17% |
| CorrDiv |
10%
|
20%
|
+10% |
| DOW |
2%
|
13%
|
+11% |
| GapFade |
10%
|
4%
|
-6% |
| VIX_TS |
15%
|
0%
|
-15% |
⚠️ MV-optimized weights are IS-fitted — expect some OOS degradation. Use as directional guidance, not gospel.
Equal-weight is a robust benchmark. If EW beats MV OOS, current weights may be overfitting.
Generated: 2026-02-28 22:05:16 PST