portfolio correlation
I think it would be helpful for you to create a feature to delete correlation policies from your portfolio with 1 click
-
Votes +16
-
Project StrategyQuant X
-
Type Feature
-
Status Fixed
-
Priority Normal
History
Rr
Rr
h
hankeys
17.11.2019 07:29
this is simple but with what rule? which strategy will be kept and which one will be deleted?
Rr
Partizanas
17.11.2019 10:01
for example, with a smaller ret/dd or some other filter, a softer strategy will be removed
h
h
hankeys
17.11.2019 14:00
i agree, good feature and we can use it to delete "duplicities" automatically
for example: delete strategies with correlation > 0,7 and delete the one with the lower RDD
value of correlation and the filter should be user defined
OS
RL
Kc
t
OS
b
y
o
mx
Rr
JK
m
l
BS
Rr
Partizanas
23.04.2020 14:44
there is an overwhelming need for this feature, is there a planned 127 Final build?
NH
D
MF
Mark Fric
26.10.2020 11:14Status changed from New to Fixed
we will not do it exactly as requested here, but there will be a new funcitonality "Fit to existing portfolio" in Build 130.
It will allow Builder to automaticaly filter out strategies with high correlation with your portfolio of already existing strategies.
Votes: +16
© Copyright. All rights reserved. ProjectPanel.com
