SQX: Portfolio Correlation test question

Hi All,

Quick Question, for breakout strategy. What would be the most important correlation metric?
Profit/Loss or Open And Closed Trades?

Does each strategy trade a different market? I prefer to analyze P/L correlation considering each strategy trades different market

No, in this case its the same instrument

i think the best method is correlation of LOSS only – could this be added? We need to cut the losses to the minimum and let the profits

hankeys wrote:

i think the best method is correlation of LOSS only – could this be added? We need to cut the losses to the minimum and let the profits

that’s a good idea

but no one is listening…cut the losses and let the profit runs

latest real portfolio…

extreme wrote:

Hi All, Quick Question, for breakout strategy. What would be the most important correlation metric? Profit/Loss or Open And Closed Trades?

I would advise you to choose ONE strategy for each instrument and timeframe you trade.
Correlation with QuantAnlayzer is only conditionally useful because one strategy could not correlate with another, even if the profit/loss is only one cent apart.

Correspondingly:

Choose a strategy that you think is good and then run only one strategy at a time. Maybe the portfolio master in QA will also help you in your search for the one strategy.

This snippet counts only losing trades into correlation statistic

its for SQX or QA? if i put it in QA nothing happens, in SQX error

This can be used in QuantAnalyzer. It needs to be compiles and QA restarted

Works.

Thank you Tomas!

Do you have something more like this in you backhand 🙂 ?

i must laugh, by your method i have strategies that are only loosing every month 🙂

ITS NOT WORKING, or you dont understand what is necessary

if the month is in profit, it couldnt be calculated as loss from it

this is true correlation of losses – profit months need to be ZERO, because, there were no losses for the whole month