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Portfolio Correlation : Calculus on In Sample period only



Would it possible to select the period In Sample Period to calculate the Portfolio correlation ?


the portfolio correlation calculus is made on all the trade In sample and Out of sample.  


we need a warning because it is a source of error.



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  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

E
#1

Emmanuel

08.12.2021 14:11

Task created

E
#2

Emmanuel

08.12.2021 14:11
Voted for this task..
Votes: +1

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