https://rollbrains.com/quant/ Recent content in Quant Strategy Research on rollbrains Hugo en Tue, 02 Jun 2026 00:00:00 +0000 https://rollbrains.com/quant/correlation-not-directional/ Sun, 31 May 2026 00:00:00 +0000 https://rollbrains.com/quant/correlation-not-directional/ We document the empirical failure of using FX cross-pair correlation decoupling as a mean-reversion directional trigger. While the rolling Z-score reverted with a 98.01% probability, the individual directional trade win rate was only 47.47%, resulting in a cost-adjusted expectancy of -8.60 pips per trade.