The Correlation Guard prevents VECTRA from taking too much exposure in correlated assets. If you already have a long BTC position and a long ETH signal appears, the guard evaluates the correlation risk before allowing the trade.
How It Works
Correlation Sources
1
Known Correlations
Pre-defined correlation values for major crypto pairs (BTC-ETH: 0.85, BTC-SOL: 0.75, ETH-SOL: 0.80, etc.)
2
Dynamic Calculation
When price data is available, actual rolling correlation is calculated from recent price movements.
3
Sector Grouping
Assets grouped by sector (Major, L1 Alt, L2, DeFi, Meme, Exchange) for sector-level exposure limits.
Decision Logic
Scenario
Correlation
Action
Same direction, high correlation
> 0.85
BLOCK — Too much exposure
Same direction, moderate correlation
0.70–0.85
REDUCE size by correlation factor
Opposite direction, high correlation
> 0.80
ALLOW — This reduces net exposure
Same symbol, opposite direction
N/A
BLOCK — Would close position on Hyperliquid
Low correlation
< 0.50
ALLOW — Independent positions
Portfolio Exposure Tracking
The system maintains a live portfolio exposure record:
Gross exposure (sum of all position sizes)
Net directional exposure (longs minus shorts)
Per-sector concentration
Maximum correlation exposure threshold (configurable, default 0.70)