bugs:
1.After my testing, I found that the Custom project task "Filter by correlation" cannot actually filter out strategies with correlations exceeding the preset value after running. The strategy after each filtering is the same as before and after filtering. I can effectively filter the same databank using the previous Filter by Correlation databank plugin.2.The
databank includes Source, Target, and Existing. Every time I modify the
corresponding databank, as long as I simply switch between tasks or
projects and return to Filter by correlation task, I will find that the
previously set Source databank returns to the default Results databank.Unable to save modified databank.
Features:
1.This Filter by Correlation task is very good and can serve as a supplement to the Automatic Portfolio builder Task. Because the automatic portfolio builder generates portfolios, while the Filter by Correlation task generates individual strategies, the latter has a wider range of applications.
2.The current Filter by Correlation task still lacks the ability to set parameters based on a certain metric rank and maximum strategies to store in databank.
3.Referring to the design of the Automatic Portfolio Builder task, there can also be data range settings.
Please refer to the attached image for details.
Best regards.
Attachment correlation 026.jpg added
Attachment correlation fltered .jpg added
Status changed from New to Refused
Attachment image-0.png added
I think you are misunderstanding how it works.
Here is a link to doc
https://strategyquant.com/doc/programming-for-sq/example-plugin-a-complete-custom-project-task
There is a good explanation
This task does a simple job – it compares strategies from Source databank with existing strategies in Existing databank and copies those that have lower than allowed correlation into Target databank.
In your screen the Existing databank is empty.
Sincerely,
Tamas
I have read this document before, and it states that the custom project task is an extension of the previous databank plugin. The functionality that the previous databank plugin was able to implement is currently not available in the task, which means that there is no need to filter the existing strategies in the databank based on the existing databank. This feature is exactly what I need more.
In addition, the bugs and features I mentioned later are independent of the issues you mentioned, please pay attention to them:
bugs:
2.The databank includes Source, Target, and Existing. Every time I modify the corresponding databank, as long as I simply switch between tasks or projects and return to Filter by correlation task, I will find that the previously set Source databank returns to the default Results databank.Unable to save modified databank.
Features:
1.This Filter by Correlation task is very good and can serve as a supplement to the Automatic Portfolio builder Task. Because the automatic portfolio builder generates portfolios, while the Filter by Correlation task generates individual strategies, the latter has a wider range of applications.
2.The current Filter by Correlation task still lacks the ability to set parameters based on a certain metric rank and maximum strategies to store in databank.
3.Referring to the design of the Automatic Portfolio Builder task, there can also be data range settings.
Please refer to the attached image for details.
Best regards.
Hi Tamas,
I have reorganized my thoughts and provided an example. Could you please take a closer look.
Best regards.