<- Back to Tasks

Develop Filter by correlation as a task type under the custom project.

It is strongly recommended to develop Filter by correlation as a task type under the custom project.
Reason:
In version 138, the portfolio master has just been added to SQX, which is a very good feature. This actually includes the Filter by correlation module, but the portfolio master is designed to generate portfolios, generating only portfolios rather than independent strategies.

The previous version of SQX had a Filter by correlation plugin. The purpose to be achieved is similar to that plugin, but the plugin cannot be integrated into the custom project and its functionality is not comprehensive

In the process of strategy development, setting up a Filter by correlation task type in the custom project module can help handle many relevance filtering needs in the databank for strategies. sqx. For example, in the results generated after simple optimization of strategies, a large number of highly correlated situations need to be filtered and removed by correlation. There are many similar situations. So I hope to separate this Filter by correlation from the portfolio master. 
Making Filter by correlation an independent task type will provide greater flexibility in the process of strategy development.
Please refer to the attached figure for the specific functions included in this task type. It needs to include both Source databank and Target databank. Maximum strategies to store in databank. And features such as rank strategies by and data range.



Attachments
Filter by correlation.jpg
Filter by correlation.jpg
(92.93 KiB)
display interface.jpg
display interface.jpg
(191.20 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

History

4
#1

Jordan

30.11.2023 03:56

Task created

TT
#2

Tamas

30.11.2023 08:25

Status changed from New to Fixed

Hello,


it already exists. You can download it here

https://strategyquant.com/doc/programming-for-sq/example-plugin-a-complete-custom-project-task


Tamas

AA
#3

Alex

30.11.2023 08:40
Voted for this task.
AA
#4

Alex

30.11.2023 08:40

Dear Tamas,


There are some widely used options, such as this one noted by Jordan, also this one:

https://roadmap.strategyquant.com/tasks/sq4_010416


Is is possible to add them into SQX by default? It'll be great if when we install SQX, we have all these options by default.


4
#5

Jordan

04.12.2023 14:34
Hi Tamas,

Thank you very much for your reply. Your answer is very helpful, but there are still some bugs and features that need to be further improved in the Filter by Correlation task under the custom project module. I have listed them here, please take a look.

https://roadmap.strategyquant.com/tasks/sq4_010519


4
#6

Jordan

03.01.2024 06:33
Voted for this task.
Votes: +2

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please