Correlation matrix
Most crypto coins move together. Here is by how much.
A “diversified” 10-coin portfolio with no correlation awareness is usually one bet on BTC dressed up as ten bets. When BTC dumps, almost everything dumps with it, often harder. The matrix below is the realized 90-day correlation between log-returns of our 10-coin universe, computed from daily Binance candles.
Why this matters for a backtester: when ranging genes fire on BTC and ETH at the same time, those positions are correlated, not independent. Sizing them as if they are independent over-concentrates the book. The data here is the input to the cluster-cap and risk-parity work that lands in the adaptive engine over the next few weeks.
90-day correlation matrix
n=90 days · updated 4/25/2026
| BTC | ETH | SOL | BNB | XRP | ADA | AVAX | LINK | DOGE | DOT | |
|---|---|---|---|---|---|---|---|---|---|---|
| BTC | — | 0.94 | 0.93 | 0.92 | 0.92 | 0.86 | 0.89 | 0.92 | 0.84 | 0.67 |
| ETH | 0.94 | — | 0.93 | 0.90 | 0.88 | 0.90 | 0.91 | 0.95 | 0.85 | 0.73 |
| SOL | 0.93 | 0.93 | — | 0.91 | 0.88 | 0.90 | 0.92 | 0.95 | 0.85 | 0.77 |
| BNB | 0.92 | 0.90 | 0.91 | — | 0.87 | 0.87 | 0.89 | 0.91 | 0.83 | 0.72 |
| XRP | 0.92 | 0.88 | 0.88 | 0.87 | — | 0.88 | 0.87 | 0.89 | 0.87 | 0.71 |
| ADA | 0.86 | 0.90 | 0.90 | 0.87 | 0.88 | — | 0.95 | 0.95 | 0.92 | 0.83 |
| AVAX | 0.89 | 0.91 | 0.92 | 0.89 | 0.87 | 0.95 | — | 0.96 | 0.88 | 0.82 |
| LINK | 0.92 | 0.95 | 0.95 | 0.91 | 0.89 | 0.95 | 0.96 | — | 0.87 | 0.80 |
| DOGE | 0.84 | 0.85 | 0.85 | 0.83 | 0.87 | 0.92 | 0.88 | 0.87 | — | 0.74 |
| DOT | 0.67 | 0.73 | 0.77 | 0.72 | 0.71 | 0.83 | 0.82 | 0.80 | 0.74 | — |
Most correlated pairs
- AVAX · LINK0.96(30d 0.96)
- ETH · LINK0.95(30d 0.90)
- ADA · LINK0.95(30d 0.93)
- ADA · AVAX0.95(30d 0.95)
- SOL · LINK0.95(30d 0.92)
Least correlated pairs
- BTC · DOT0.67(30d 0.55)
- XRP · DOT0.71(30d 0.80)
- BNB · DOT0.72(30d 0.66)
- ETH · DOT0.73(30d 0.51)
- DOGE · DOT0.74(30d 0.79)
Per-coin stats (90d)
| Coin | Ann vol 90d | Ann vol 30d | Beta to BTC | Avg corr |
|---|---|---|---|---|
| BTC | 61% | 41% | 1.00 | 0.88 |
| ETH | 80% | 59% | 1.23 | 0.89 |
| SOL | 79% | 59% | 1.21 | 0.89 |
| BNB | 56% | 37% | 0.84 | 0.87 |
| XRP | 77% | 41% | 1.16 | 0.86 |
| ADA | 79% | 62% | 1.13 | 0.90 |
| AVAX | 75% | 60% | 1.10 | 0.90 |
| LINK | 75% | 57% | 1.14 | 0.91 |
| DOGE | 78% | 44% | 1.07 | 0.85 |
| DOT | 97% | 65% | 1.07 | 0.75 |
Beta > 1.3 amplifies BTC moves (riskier). Beta < 0.7 dampens (lower beta exposure but usually still high absolute volatility). Avg corr near 1 means this coin offers little diversification benefit; nearer 0.5 means it adds independent exposure.
Clusters at 0.70 threshold (90d)
Coins linked by ≥0.70 correlation get grouped. Each cluster is effectively one bet from a portfolio-construction view. The portfolio implication: cap total exposure per cluster, not per coin.
Methodology
Data. Daily candles from Binance, 90-day rolling window ending at the most recent shared timestamp across all 10 coins. Returns are log-returns of close prices.
Correlation. Pearson correlation on the return series. No exponentially-weighted recency bias yet, every day in the window is weighted equally.
Beta to BTC. Cov(coin, BTC) / Var(BTC) over the 90-day window. Standard CAPM-style beta but on daily returns rather than monthly.
Clusters.Single-linkage greedy clustering at a 0.70 correlation threshold. Two coins linked through any path of ≥0.70 edges land in the same cluster.
What this is not.Forward-looking. Correlations change with regime, especially during stress events when they spike toward 1. The 30-day column on hover gives a near-term view; if 30d > 90d a regime shift is in progress.
Pair this with the calibration log and the live trade reasoning feed: