Portfolio Correlation and Combined Margin Monitoring
Summary
This MT5 tool helps traders review planned or open exposure across several instruments as a portfolio. Given comma-separated symbols and lot sizes, it calculates a Pearson correlation matrix from historical bar-to-bar returns over a configurable timeframe and lookback. It also reports average pairwise correlation as a compact indication of how similar the instruments have moved.
The calculator estimates the broker margin required for all listed positions, totals it in account currency, and expresses that amount as a share of current equity. A configurable threshold can trigger a one-time deposit-load alert; the report can refresh periodically and appear in the Experts tab or on the chart. These outputs can help reveal overlapping market exposure and aggregate margin use, but they are estimates based on historical data and broker requirements. Correlation can change, and the document gives no evidence that the measures predict future losses or guarantee portfolio diversification.
Key ideas
- The tool calculates pairwise Pearson correlations from historical instrument returns.
- Average pairwise correlation summarizes the similarity of the selected instruments.
- It estimates combined required margin for the specified symbols and lot sizes.
- Deposit load expresses estimated combined margin as a percentage of account equity.
- Historical correlations and margin estimates do not establish future portfolio risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.