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Market Correlation Trading

skill-ske-labs-agent-trading-skills-market-correlation-trading · by SKE-Labs

Trade cross-asset correlations, lead-lag relationships, and correlation breakdowns for macro-informed signals. Use when analyzing how related assets move together, identifying divergences between correlated pairs, or assessing macro regime shifts.

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Install

$ agentstack add skill-ske-labs-agent-trading-skills-market-correlation-trading

✓ scanned · ✓ verified — works with Claude Code, Cursor, and more.

Security review

✓ Passed

No issues found. Passed automated security review. · v0.1.0 How review works →

  • ✓ Prompt-injection patterns
  • ✓ Secret / credential exfiltration
  • ✓ Dangerous shell & filesystem operations
  • ✓ Untrusted network calls
  • ✓ Known-malicious package signatures

What it can access

  • ✓ Network access No
  • ✓ Filesystem access No
  • ✓ Shell / process execution No
  • ✓ Environment & secrets No
  • ✓ Dynamic code execution No

From automated source analysis of v0.1.0. “Used” means the capability is present in the source — more access means more to trust, not that it’s unsafe.

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About

Market Correlation Trading

When normally correlated assets diverge, one must revert -- creating high-probability trades.

Correlation Matrix

Positive (Move Together)

| Pair | Typical Range | Mechanism | | --- | --- | --- | | BTC / Nasdaq | +0.5 to +0.8 | Risk-on/off sentiment | | BTC / ETH | +0.7 to +0.95 | Crypto co-movement | | EUR/USD / GBP/USD | +0.8 to +0.9 | Both anti-USD | | Gold / Silver | +0.7 to +0.9 | Precious metals | | Tech stocks (AAPL/MSFT/GOOGL) | +0.6 to +0.8 | Sector co-movement | | Oil / Energy stocks (XLE) | +0.7 to +0.9 | Direct commodity exposure |

Inverse (Move Opposite)

| Pair | Typical Range | Mechanism | | --- | --- | --- | | Gold / Real Yields (TIPS) | -0.7 to -0.9 | Gold is anti-yield | | USD / Emerging Markets | -0.6 to -0.8 | Strong USD hurts EM | | USD / Gold | -0.5 to -0.7 | Dollar-denominated pricing | | VIX / S&P 500 | -0.7 to -0.9 | Fear gauge vs market | | Bonds (TLT) / Stocks (SPY) | -0.3 to -0.6 | Risk rotation (regime-dependent) |

Divergence Signals

| Scenario | Signal | | --- | --- | | BTC rallies but Nasdaq flat/down | BTC overextended, watch for pullback | | Gold falls but real yields also fall | Gold undervalued, potential buy | | Oil rises but energy stocks lag | Energy stocks may catch up | | VIX rises but S&P holds | Hedging without selling, watch for resolution |

Measure divergence: compare 20-day vs 60-day rolling correlation. If 20d deviates >0.3 from 60d = breakdown. Duration >5 days = significant.

Lead-Lag Relationships

| Leader | Follower | Lag | Application | | --- | --- | --- | --- | | US Treasury yields | Rate-sensitive stocks | 1-3 days | Rising yields -> short REITs/utilities | | DXY (Dollar Index) | EM stocks/currencies | 1-5 days | Rising DXY -> reduce EM exposure | | VIX futures curve | SPY | Hours-1 day | VIX backwardation -> defensive | | BTC | Altcoins | 1-3 days | BTC breakout -> alts follow | | Copper | Industrials (XLI) | 1-5 days | Copper rising -> bullish industrials | | Oil | CPI expectations | Weeks | Oil spike -> expect higher CPI |

Regime-Dependent Correlations

| Regime | Correlation Behavior | | --- | --- | | Risk-on (normal) | Traditional correlations hold | | Risk-off (crisis) | Everything correlates -- stocks, crypto, commodities drop; only USD/treasuries/gold rise | | Inflation | Stocks and bonds fall together (atypical positive correlation) | | Deflation | Stocks fall, bonds rise (traditional inverse) |

Workflow

1. Check Related Assets

get_fundamentals(ticker="SPY")
get_fundamentals(ticker="QQQ")
get_fundamentals(ticker="TLT")
get_fundamentals(ticker="GLD")

Compare recent performance (1W, 1M, 3M) across correlated pairs.

2. Research Macro Context

get_financial_news(topic="correlation stocks bonds regime shift 2026", max_results=10)
get_economics_calendar(from_date="2026-03-20", to_date="2026-03-27", impact="high")

Determine whether current correlations are driven by Fed policy, inflation, or event-specific factors. High-impact macro events can trigger regime shifts.

3. Identify and Report Divergences

Report: key correlation pairs and current state, detected divergences with duration, lead-lag signals (leader moved, follower expected to catch up), regime assessment (risk-on/off, inflation/deflation), and specific mispriced assets.

Key Rules

  • NEVER assume correlations are permanent -- BTC/Nasdaq was near zero in 2017, +0.8 in 2022; always use recent rolling windows
  • NEVER trade correlations without checking the macro regime -- in a crisis, everything correlates to the downside and traditional diversification fails
  • NEVER size correlated positions independently -- if you're long BTC and long QQQ at 0.7 correlation, that's concentrated risk
  • NEVER confuse correlation with causation -- two assets may both respond to a third factor (e.g., Fed policy)
  • When normally inverse assets start moving together, prioritize macro analysis over standard correlation plays

Related Skills

  • sector-rotation -- Sector correlations reveal rotation opportunities
  • economic-calendar-trading -- Macro events drive correlation regime shifts

Source & license

This open-source skill is cataloged on AgentStack and links to its original source — we do not rehost the code.

Install and usage instructions live in the source repository linked above.

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Versions

  • v0.1.0 Imported from the upstream source.

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