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Forums>StrategyQuant>Application Support>Deleting correlated strategies

  • #259550 |
    Oliver
    Customer
    117 Posts

    Hi

    Is there a way to  automate the deletion of strategies that are correlated to a certain level?

    on numerous occasions ive built say 20 + strategies i want to be able to quickly delete those that are corellated but keep the ones which have the highest ret/dd ratio. it takes so much time to create a portfolio then widen the name and cross check it against the list view to see which one  has a higher ret/dd ratio.

    I hope what i write makes sense?

    as i write im thinking this may be a function not included in strategyquant and may be best posted elsewhere. any assistance in this would help save my eyes some screen glaring time.

    Thanks in advance

     

    #259555
    Customer
    793 Posts

    this function is not provided yet, as i know – talked here or in the “buglist” many times and many times ago

    if you want to delete correlated strategies you need to put strats to QA and run portfolio master for now – i am using this method for now

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

    #259568
    Oliver
    Customer
    117 Posts

    yeah this is a great way to find which strategies are uncorrelated but when you split the portfolio in to single strategies you can’t save them as a sqx files. you then have to do almost the same which is run your eyes down two lists to work out which ones you wish to bin or keep. or am i missing something?

    #259576
    Customer
    793 Posts

    for saving SQX files from QA we have programmed our own snippet

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

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