correlation-regime-switcher
Automatically switches strategy sets when correlation regimes change. Use this skill whenever the user asks about "correlation regime change", "adaptive strategy switching", "when correlations break", "regime-based strategy selection", "correlation breakdown trading", "dynamic strategy switching", "auto-switch strategy", or any question about adapting to changing inter-market relationships. Works with pair-correlation-engine and market-regime-classifier.
Quellinformationen
- Repository
- mahmoud20138/Tradecraft
- Letzte Quellaktivität
- 23. April 2026 um 08:40
- Erkannte Sprache von SKILL.md
- Englisch
- Sterne
- 15
- Forks
- 4
Installationsoptionen
Standardmäßig ist der Prompt ausgewählt, der zuerst die Quelle prüft. Sie können zu einem direkten Befehl wechseln oder eine lokale Kopie herunterladen.
Quelldateien prüfen
Lesen Sie SKILL.md und alle von SkillsMP angezeigten Begleitdateien, bevor Sie sich für eine Installation entscheiden.
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SKILL.md
Quellanweisungen · Schreibgeschützte Vorschau- name
- correlation-regime-switcher
- description
- Automatically switches strategy sets when correlation regimes change. Use this skill whenever the user asks about "correlation regime change", "adaptive strategy switching", "when correlations break", "regime-based strategy selection", "correlation breakdown trading", "dynamic strategy switching", "auto-switch strategy", or any question about adapting to changing inter-market relationships. Works with pair-correlation-engine and market-regime-classifier.
- kind
- reference
- category
- trading/market-context
- status
- active
- tags
- ["correlation","market-context","regime","switcher","trading"]
- related_skills
- ["cross-asset-relationships","correlation-crisis","market-regime-classifier","multi-pair-basket-trader","pair-scanner-screener"]
# Correlation Regime Switcher
```python
import pandas as pd
import numpy as np
class CorrelationRegimeSwitcher:
REGIME_STRATEGIES = {
"normal_correlation": {
"description": "Correlations at historical norms",
"strategies": ["trend_following", "carry_trade", "mean_reversion_pairs"],
"risk_level": "NORMAL",
},
"correlation_breakdown": {
"description": "Historical correlations breaking down",
"strategies": ["single_pair_momentum", "volatility_selling"],
"risk_level": "ELEVATED — reduce correlated positions",
},
"correlation_spike": {
"description": "All assets moving together (crisis mode)",
"strategies": ["safe_haven_only", "volatility_buying", "cash"],
"risk_level": "HIGH — correlation=1 means no diversification benefit",
},
"decorrelation": {
"description": "Assets becoming uncorrelated — dispersion rising",
"strategies": ["pairs_trading", "relative_value", "basket_trades"],
"risk_level": "OPPORTUNITY — dispersion creates relative value trades",
},
}
@staticmethod
def detect_regime(correlation_matrix: pd.DataFrame, historical_avg_corr: float) -> dict:
"""Classify current correlation regime."""
upper_tri = correlation_matrix.values[np.triu_indices_from(correlation_matrix.values, k=1)]
current_avg = np.mean(np.abs(upper_tri))
deviation = current_avg - abs(historical_avg_corr)
if current_avg > 0.8:
regime = "correlation_spike"
elif deviation > 0.15:
regime = "correlation_spike"
elif deviation < -0.15:
regime = "decorrelation"
elif abs(deviation) < 0.05:
regime = "normal_correlation"
else:
regime = "correlation_breakdown"
strategies = CorrelationRegimeSwitcher.REGIME_STRATEGIES[regime]
return {
"regime": regime,
"current_avg_correlation": round(current_avg, 4),
"historical_avg": round(abs(historical_avg_corr), 4),
"deviation": round(deviation, 4),
**strategies,
}
@staticmethod
def transition_detector(rolling_corr: pd.Series, window: int = 20) -> dict:
"""Detect regime transitions from rolling correlation data."""
recent = rolling_corr.tail(window)
prior = rolling_corr.iloc[-(window*2):-window]
change = recent.mean() - prior.mean()
return {
"transition_detected": abs(change) > 0.2,
"direction": "CONVERGING" if change > 0.2 else "DIVERGING" if change < -0.2 else "STABLE",
"magnitude": round(abs(change), 4),
"action": "Switch strategy set — correlation regime changing" if abs(change) > 0.2 else "Hold current strategies",
}
```
Auf GitHub ansehen