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  • #203283 |
    huangwh88
    Customer
    127 Posts

    Is it possible to do a correlation check between 2 different portfolios (not between systems in one portfolio) in QA?

    #203291
    huangwh88
    Customer
    127 Posts

    Simply merge each portfolio to a single strategy then combine single strategies into a portfolio. Run correlation analysis as normal. You’re welcome.

     

    Thank you, Notch.

    I ran a correlation check between 2 portfolios which are identical except for position sizing methods. Since the equity curves are rising/falling at the same time (not necessarily at the same rate), I was expecting a correlation of 1, but I got 0.93. Is this a software limitation or is my understanding incorrect?

    #234883
    FILIPE BONALDO ACERBI
    Customer
    38 Posts

    notch,

    Is there a way to automatic filter in portfolio master high correlated portfolios?

    I want combinations of portfolio that is not correlated and I would take much time deleting manually.

    #234912
    tomas262
    Administrator
    1826 Posts

    Filipe, you can set maximum correlation allowed between strategies to avoid trading similarities

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