I know intuitively that a system I am researching produces

**synchronised**equity curves for both product. They move in the same directions at roughly the same time. Big winners begin and end at the roughly the same time, along with whipsaw losers.

"The Same Time" is a phrase that is loosely prepared based on eyeball observation. It might mean SI exits a big winner a within a week or two of HG. Or in March they both had the same 1R loser, same again in April and one more time in July.

I find that a mathematical calculation of correlation based on price series sometimes misses these clearly synchronised equity curve pairs. Attempting to calculate mathematical correlation using the equity curves produces at times a less reliable result as well.

How to define and quantify 'similarity' or 'synchronised'?

Some terms that could be incorporated:

(a) Count the number of two-week periods where HG and SI both enter a trade of any direction.

(b) Count the number of times HG and SI exit a trade within a two week period, where both are either profitable or both unprofitable.

(a+b) a count of trading synchronisation

(c) ratio of (a+b) to total number of trades in HG and SI

(d) create a â€˜weightingâ€™ multiplier using the ratio of total trades in SI to total trades in HG. A ratio of 1 leads to a stronger equity curve correlation.

The synchronisation ranking could range between 0 and 1.

**Example1:**

HG number of trades 20

SI number of trades 20

(a) 20

(b) 20

(a+b) = 40

(c) 40/40 = 1

(d) 20/20 = 1

(c x d) = 1 x 1 = 1 therefore the equity curves are strongly synchronised.

**Example 2:**

HG number of trades 20

SI number of trades 20

(a) 10

(b) 10

(a+b) = 20

(c) 20/40 = 0.5

(d) 20/20 = 1

(c x d) = 1 x 0.5 = 0.5 therefore the equity curves are mildly synchronised.

**Example 3:**

HG number of trades 20

SI number of trades 15

(a) 15

(b) 15

(a+b) = 30

(c) 30/35 = 0.86

(d) 15/20 = 0.75

(c x d) = 0.75 x 0.86 = 0.65 therefore the equity curves are between mild and strongly synchronised.

Why should ex. 3 produce a higher synchronised rating than ex. 2? I donâ€™t think that it should.

**Example 4:**

HG number of trades 50

SI number of trades 15

(a) 10

(b) 2

(a+b) = 12

(c) 12/65 = 0.19

(d) 15/50 = 0.3

(c x d) = 0.19 x 0.3 = 0.06 therefore the equity curves are not synchronised.

There are clearly still

**lots of problems**, not the least of which is defining (a) and (b) to account for instances when multiple trades are entered and exited in the same 2 week period in both symbol.