The Correlation Gate filter is a pass/block gate on rolling Pearson correlation of simple bar returns between two markets. When the correlation meets your compare condition against a threshold, the filter passes; otherwise it blocks. It never fires a buy or sell by itself.
Use it when you only want to allow other signals while two books are co-moving (or decoupled). Prefer Correlation Threshold when the correlation condition itself should emit a buy or sell side.
When to use it
- Only enter when BTC and ETH returns are highly correlated
- Block entries when correlation collapses
- Confirm pairs or relative-value ideas without adding a second directional rule
What you’ll set in the app
Add Correlation gate under filters.
- Market B symbol — required second market (Market A defaults to the strategy primary)
- Optional exchange/timeframe overrides for A and B
- Window — return bars in the sample (default 20)
- Compare — corr >, <, ≥, ≤, or ≈
- Threshold — value in [−1, 1] (default 0.7)
Missing Market B or warm-up history blocks the gate. Disabled passes.
Tips
- Correlation is on returns, not raw prices.
- There is no “side when true”—pair this with RSI, MACD, or other signal rules for direction.
- For a directional corr signal (or directional filter that must match buy/sell), use Correlation Threshold.
Example
Entry filters: Correlation gate, Market B = ETHUSDT, window 20, corr > 0.7. A breakout long only passes when BTC and ETH recent returns are strongly co-moving.