Module `Algostream_risk_management.Correlation_breakdown`

Detect when a tracked correlation drifts away from its baseline.

Two EWMAs over the correlation feed: a long-period baseline (default 60) and a short-period current (default 10). The status ladder reports increasing severity:

Stable — current is within breakdown_threshold/2 of baseline
Weakening — diff > threshold/2 but < threshold
Broken_down — diff ≥ threshold
Sign_flipped — current and baseline have opposite signs AND |current| > threshold (overrides the other levels)

Built on top of Algostream_analytics.Filters.Ewma.

type status =

| Stable
| Weakening of float
(*
current corr value
*)
| Broken_down of float
| Sign_flipped of float

module Detector : sig ... end

val status_to_string : status -> string