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academic_corr_rewire

correlation-rewiring stability score

Themes & universe

volatilityequity_usequity_cnequity_hkcrypto1d

Formula

\mathrm{zscore}_{x}\Bigl(-\,\frac{1}{|J_i|}\sum_{j \in J_i}\bigl|\rho_{ij}^{\mathrm{event}} - \rho_{ij}^{\mathrm{calm}}\bigr|\Bigr),\quad \rho^{\mathrm{event}} = \mathrm{corr}(r_{t-19..t}),\ \rho^{\mathrm{calm}} = \mathrm{corr}(r_{t-139..t-20})

Definition

id

academic_corr_rewire

zoo

academic

module_path

src.factors.zoo.academic.corr_rewire

decay_horizon

60

min_warmup_bars

140

requires_sector

False

columns_required

close

Notes

Causal rolling rendition of the correlation-regime skill's Mode 4 (rewiring leaderboard): per-asset row mean of |corr(event) - corr(calm)| where the event window is the trailing 20 bars and the calm baseline is the 120 bars immediately before it, sign-flipped and cross-sectionally z-scored so correlation-stable names rank highest. Framed as a structural risk / crowding lens, not a validated alpha: the author's public validation of the underlying regime machinery covers regime detection and attribution on historical replays only and makes no return-prediction claim for this cross-sectional form. Missing data: columns need >= 90% in-window coverage, else NaN; observed entries are demeaned and missing entries contribute zero to the correlation cross-products.

Run it

pip install vibe-trading-ai
vibe-trading alpha show academic_corr_rewire
vibe-trading alpha bench --zoo academic --universe csi300 --period 2020-2025