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EA Analyzer Portfolio analysis

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james

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6 years ago #113240

Hello

 

Apologies for the newbie question, but here goes!

 

I just want to make sure I’ve understood what my result in the following attached screenshot shows:

 

  • Esotine9 and Evafavo are uncorrelated on equity
  • But are 100% correlated on overlapping trades

Is that correct?

 

I couldn’t find a specific description of this part of EAA anywhere.  Could you point me to it?  Is there a user manual for EAA? (Sorry I missed it if there is!)

 

Thanks,

 

James.

 

P.S.

Later edit:  Sorry should have said, Evafavo makes 121 trades in total, and Esotine9 377, therefore all of Evafavo’s trades overlap Esotine9’s.

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Mark Fric

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6 years ago #128700

yes, it looks like this.

Correlation is computed using P/L, so it seems these two strategies are not correlated by profit, but they have 121 trades where at least 1 day is overlapped.

Mark
StrategyQuant architect

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james

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6 years ago #128711

Mark

 

Thank you for the reply.

 

Could I trouble you once more please?  You say that the results above show correlation where at least 1 day is overlapped.  I was using the H1 timeframe.  Does this mean that if one strategy opens and closes within the hour at the start of the day, and the other does the same at the end, then this is counted as an overlap?

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Mark Fric

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6 years ago #128734

sorry, I made a mistake in the explanation. Overlapping means that the trades overlapped, it means that at least for a while both trades were opened at the same time.

 

From your example it seems that every trade of Evafavo overlapped with some trade from Esotine9.

Mark
StrategyQuant architect

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james

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6 years ago #128736

Great!  Thank you for clarifying that. 🙂

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umbertosm

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5 years ago #133296

Hi Mark,

 

in Portfolio symbol correlation ‘“ based on daily equity  

 

we have Esotine9 – Evafavo = – 0.05

 

can you please explain how  the correlation is made between profit / loss of the trades?
 
how can it be a positive or negative value?
 
…a simple numerical example of a correlation between a trade of Esotine9   and a trade of Evafavo
 
 
If first strategy does 1000 trades, the second one 500 trades, and together have 300 overlapping trades, the Pearson correlation is applied to the 300 trades, 500 or 1000?
 
 
thanks 

Umberto

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umbertosm

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5 years ago #133323

OK, thanks, I found the explanation here  🙂 

 

Portfolio correlation explained :  https://strategyquant.com/doc/article/portfolio-correlation-explained.html

 

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