portfolio correlation matrix always shows both the original strategies and the optimized strategies
For example, there are five sequential optimized strategies in the databank. Select databank - Portfolio - merge strategies to generate a portfolio.
Double click the portfolio and click the "compute" button under the "portfolio correlation" tab. In the "correlation matrix", you can see that there
Double click the portfolio and click the "compute" button under the "portfolio correlation" tab. In the "correlation matrix", you can see that there
are not only sequential optimized strategies in the matrix, but also the original strategies, which is a little confusing.
Modification suggestions: add options before "compute" to select:
1. Only the original strategy is included;
2. Only the optimized strategy is included;
3. Include both the original strategy and the optimized strategy.
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Votes +3
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Project StrategyQuant X
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Type Bug
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Status New
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Priority Normal
History
4
4
Jordan
09.03.2022 03:21
In addition to sequential optimization, other cross checks also have the same problems.
4
E
AA
Alex
20.10.2022 08:27Hi SQX team,
The same problem when using higher backtest precision.
Please take a look at this as well.
https://roadmap.strategyquant.com/tasks/sq4_9371
HF
4
Votes: +3
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