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