Crypto Correlation Trading Strategy

Build a correlation-based strategy for:

Capital Allocation: ${{CAPITAL}}
Target Pairs: ${{TARGET_PAIRS}}
Strategy Complexity: ${{COMPLEXITY_LEVEL}}
Risk Parameters: ${{RISK_PARAMS}}

Develop correlation strategies:
1. Correlation Analysis
   - Rolling correlation calculation
   - Correlation regime identification
   - Cross-asset correlation mapping

2. Pairs Trading
   - Pair selection methodology
   - Cointegration testing
   - Spread calculation
   - Mean reversion signals

3. Correlation Breakdown Trading
   - Divergence identification
   - Convergence expectation
   - Entry timing
   - Position sizing

4. Portfolio Application
   - Correlation-based diversification
   - Risk parity adjustments
   - Hedge ratio calculation

5. BTC/ETH Spread Trading
   - Historical spread analysis
   - Fundamental drivers
   - Technical execution
   - Risk management

6. Cross-Market Correlation
   - Crypto-equity correlation
   - Crypto-macro relationships
   - Correlation regime changes