Deleting correlated strategies
3 replies
Oliver
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
hankeys
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
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.
Oliver
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?
hankeys
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.
Viewing 3 replies - 1 through 3 (of 3 total)