Correlation Filter – Custom Analysis

Especially when using Genetic Evolution and/or when using optimisation tasks in your workflow, strategies can sometimes be highly correlated, not only as a result of the build task, but because of other tasks.

This filter can be added to a Custom Project as a task at any stage in your workflow so that correlated strategies are removed.

This Custom Analysis accepts an input argument which corresponds to the correlation threshold which will be applied. When there is a correlation between two strategies higher than the threshold, the strategy with the highest fitness score of the two will be kept and the other one will not be included into the target databank.

Correlation is calculated based on daily profit and loss.

If you specify different source and target databanks, then only the uncorrelated strategies will be copied to the target databank.

If you want the analysis to remove correlated strategies from a databank, you can set the same databank as the source and target, and enable the option “Filter by results of custom analysis. If true strategies that don’t pass will be removed”.

This was inspired by the Filter by Correlation Plugin example, cf. https://strategyquant.com/doc/programming-for-sq/filter-by-correlation-plugin-example/
and noticing that in SQX discord and in the forum many were looking for this functionality (including myself).