Performing Correlation Analysis on other datasets

I love the ability of QA4 to perform correlation analysis on a portfolio of strategies. Very helpful.

I also need to analyze a strategy against other macro-economic data sets. For example, I’ve used SQX to build a fantastic strategy using Dukascopy data from 2017 – 2022. I also put it through a series of robustness tests and it holds up solidly for the period 2017 – 2022.

However, if I run the strategy on Dukascopy data from 2013-2017, it fails miserably for no explainable reason. I suspect that the performance is due to changes in macro-economic variables such as the change in the interest rate % from the Federal Reserve, or maybe it was from a directional change of CPI, etc. etc.

I would like to be able to take the strategy’s performance and compare it to various sets of macro-economic data for the same period to see if there is a correlative relationship (either positively or negatively).

In a perfect world, QA4 would already have downloaded all of the significant macro-economic indicators from a source such as tradingeconomics.com (or some other resource) and I could just tell QA4 to compare the strategy against all of those known datasets to see if correlates with any of them.

Is there a way for me to do this in QA4 that I’m not aware of?

Thanks,