Can someone please explain the heatmap of Corr from backtests in this research paper ?
A Data Science Solution to the Multiple-Testing Crisis in Financial Research - Lopez De Prado (2019) - (Exhibit #3 on Page 3)

It is not clear how the Index vs Strategy correlation data points from 6,385 trials are represented/ordered in the Heat map.

The following explanation in the paper did not help much :
"As is customary in machine learning applications, the main diagonal crosses the Cartesian product from the bottom left to the top right."


1 Answer 1


Each row/column of the heatmap is a trial. The matrix is the correlations between the different strategy trial returns, not the index vs strategy scatter plot.

The cluster analysis on the next page builds upon this.


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