A task of filter the correlation of existing strategies in the databank.
It is strongly recommended to add a task in the custom project to filter the correlation of existing strategies in the databank.
At present, the correlation filtering function in sqx is in this module: build tag - ranking - fit to existing portfolio filter.
At present, the correlation filtering function in sqx is in this module: build tag - ranking - fit to existing portfolio filter.
However, the current module can only ensure that the correlation between the newly added strategies and the existing strategies in the databank meets the conditions in "correlation settings". These settings do not guarantee that the strategies of existing strategies comply with "correlation settings".
The simplest way is to add an option to the existing "correlation settings": whether to filter the existing strategies portfolio in the specified databank before running building. The result of filtering is as long as it meets the correlation settings between any two existing strategies.
When the correlation between the two strategies is greater than the preset value of correlation settings, the one with larger fitness should be retained. It is better not to simply use net profit.
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Votes +4
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Project StrategyQuant X
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Type Feature
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Status New
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Priority Normal
History
Votes: +4
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