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Custom Project: correlated strategies

1 replies

3 years ago #267518

Hello,

In build 130 has been introduces possibility to generate strategies not correlated with the others already in databank, the main probem is that it slow down a lot the generation process, so I cannot use it.

Is possible instead set in custom project a filter that automatically check correlation between some strategies in the dabank and remove those above some level of correlation?

3 years ago #267549

Hello,

it is a part of the builder module only now. You can check more description of this feature here https://strategyquant.com/doc/strategyquant/fit-strategy-to-existing-portfolio

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