snippets for QA

5 replies

Gianfranco

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3 years ago #258921

t is possible to write and add new correlation search functions in QA ?

thanks

Gianfranco

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tomas262

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3 years ago #258935

Hello,

what you show are functions used in Portfolio Master to calculate a portfolio performance (fitness)

Do you mean you need another metric to optimize portfolios or correlation method?

You can add a new request with all the specification required to our roadmap https://roadmap.strategyquant.com/projects/qa4/tasks/new

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Gianfranco

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3 years ago #258937

another metric to optimize portfolios and correlation method……

thanks gianfranco

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hankeys

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3 years ago #258958

correlation of loss only

ranking by – actual drawdown / max historical drawdown

or new columns to databank – actual drawdown, ratio actual DD / max DD, etc.

i have these for older QA, but they stopped working in QA 4.7, could someone help me to found out whats the problem?

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FILIPE BONALDO ACERBI

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3 years ago #258967

Due the OOS functionality, they added sampleType parameter to computeFitness method in QA 4.7. You have to change your computeFitness method to this:

public synchronized double computeFitness(SQResultsGroup resultsGroup, String sampleType) throws Exception {

your code

}

And probably will work

 

 

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hankeys

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3 years ago #258979

i did it exactly, but i am getting strange values on the simple divide ratios – like ration of actual/max drawdown – its a divide between 2 numbers, which itself are correct

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