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  • #114272 |
    Customer
    557 Posts

    Hi Mark,

     

    Is there a detailed help file somewhere for QA 4?

     

    There’s a lot of settings and features and without a detailed help file explaining what they do it’s a bit guess work…

     

    For example I’m looking at Portfolio correlation, what does “Add empty periods” do? It changes my correlation from negative to positive, it has a big effect, but I’ve no idea what it does internally or whether I need it on or off?

     

    To really understand what I’m looking at, would be good to know what all the settings do in detail.  There’s all the different “correlation of” settings too.   I don’t want to guess what I think they mean, that could lead to some costly mistakes later in live trading.

     

    Thanks,

     

    Mike

    #133171
    Customer
    168 Posts

     

    For example I’m looking at Portfolio correlation, what does “Add empty periods”

     

    Hello Mikey,

     

    As far as my exp provides me, “Add empty periods” is useful (or NOT useful…) when You have some strategies eg at date 2009 to 2014 ,and some in 2010-2015

    when tick “add empty…” then generated portfolio will show results from 2009 – 2015 , but when it’s unticked, then QA generates only portoflios where time is corelated to every strategy. In our example it will be 2010-2014

    btn_viewmy_160x33.png

    #133211
    Mark Fric
    Administrator
    1182 Posts

    Mike, you are right, the documentation can be better, I’ll write an article about correlations this week.

     

    Add empty periods – you can see the effect f that when you click on the number in the correlation table and list the periods.

    Without this setting, it will compute correlation only from periods where there was some profit or loss. So if there was a day where for example both strategies didn’t trade it is not included in the correlation.

     

    With the setting, it will compute correlation also from these periods (for example days) with result PL=0, which could change the total correlation value.

    Mark
    StrategyQuant architect

    #134765
    Customer
    557 Posts

    Mike, you are right, the documentation can be better, I’ll write an article about correlations this week.

     

     

    Hi Mark,

     

    Did you write an article on correlations?

     

    Thanks,

     

    Mike

    #134767
    Customer
    63 Posts

    Hello Mike,

     

    please find it in the article below

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

     

    Sincerely,

    Tomas

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