FXS Prop Desk, three London EURUSD scalps are not a portfolio, and I learned that when two of my setups shared 11 of their 14 red days in the same quarter. The combined drawdown sat near the sum, which is exactly what a fixed floor punishes.
I now export daily P and L for each setup over at least three months and compute the correlation before I allocate size. Anything above 0.6 gets treated as one strategy with a shared risk budget.
Real diversification for me came from mixing an Asia range fade with a New York momentum idea on gold. Their red days rarely lined up, and the equity curve smoothed enough that the soft stop stopped feeling crowded.
Moving a pair of strategies from roughly 0.7 correlation down toward 0.3 made a bigger difference than adding a third London FX setup ever did. The equity path stopped looking like a single bet dressed as three.
I check overlapping losing days as well as the coefficient before sizing. Is the number alone enough for your decisions, or do you count shared red days too?