So, here goes with another newbie question !
Lets say i have 50 or so decent EURGBP D1 strategies. They are all passing robustness tests with varying amounts of success, some better than others and some less better. Id want to use 5 strategies on a trading account and find the 5 strategies among the 50 which work best together.
ie pair up 5 strategies which compliment each other in some way. One loses, the others mitigate etc.
Am i right in saying SQ doesnt do this analysis – but the additional software Quant Analyser does?
How many individual strategies does QA analyse – could i plug in all 20,000 strats i found in SQ and get them all analysed together? Eg say, out of 20,000 strats, i want the best portfolio of 5.
I feel that moving from SQ into a portfolio analysis is the way to go – is my assumption above correct and how many people are using SQ – QA in this way?
in SQX you can merge a portfolio and calculate only correlation matrix between strategies, nothing more
if you want to filter strategies by correlation or compute the portfolio, you need to use Portfolio master in QA
but its impossible to work with 1000 strategies, by my opinion you can work with max low hundreds of strategies (500-600)
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