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Deleting correlated strategies

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Oliver

Customer, bbp_participant, community, sq-ultimate, 121 replies.

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3 years ago #259550

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

 

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hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

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3 years ago #259555

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

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Oliver

Customer, bbp_participant, community, sq-ultimate, 121 replies.

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3 years ago #259568

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?

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hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

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3 years ago #259576

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 2014. 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.

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