portfolio correlation

hi guys,

been a while since i last communicated here as ive been trying to work on the workflow. question to the community: you get to the point of narrowing down your first profitable strategy but would like to move onto the next uncorrelated strategy. what do you use to decide the best forex pair to crunch through, ideally looking for the most uncorrelated pair? is there a workflow that you guys adopt that tests correlation between you current strategy and the new one?

exciting times ahead, but i know i am still so so behind on understanding this fully, hope you can help!

There is no clear answer to that. You can just switch time frame and maybe use the same strategy on another time frame which often works or just keep making new ones on any other instrument of choice. It is not only the instrument that decide the correlation it is also the code. You can find the answer by playing around with Portfolio analyzer. I find that to have a low drawdown the top portfolios usually have a multi time frame mix. That seems to be more beneficial then different instruments.

uncorrelated strategies could be found not only by using different pairs.., you can find uncorrelated strategies by even changing the TF it self, or maybe the entry/exit rules, or even setting specific days or times of the day to be traded on,

as mabi already stated you should play around a bit..

thank you guys for your response. im hoping to build a portfolio of uncorrelated strategies so the portfolio risk is reduced to any individual factor.

the idea of varying 

timeframe

strategy parameters

currency pair

is a good idea. but finding the level of correlation between M15 EURUSD and H1 EURUSD or M15 EURUSD and H1 GBPUSD is proving difficult? any thoughts or web links/software to help me find this info out?

I think that you should wait for SQ4 to come out, you wont have any problems doing what you intend to do,

there will be more functionality in SQ4 then the current version so you can do it with “ease” in the new version.

till then yes you can use Quant Analyzer 4 for more in-depth information about correlations.