About Improving the Filter by Correlation Module
I tried this function and found several small problems. I hope it can be further improved.
1. There are only two parameters that can be set on the page: Correlation Period and Max Correlation. It is recommended to set them like the correlation settings in Build——Ranking——Fit to Existing portfolio filter.
2.When I tested, there were 1000 strategies in the databank, which took a long time to run, but the CPU utilization rate was only 20%. It is recommended that users be allowed to increase the CPU utilization rate to speed up the filtering process. It is better to add a running progress bar and allow stopping during running.
3.This module, which is filtered according to the correlation of existing strategies in the databank, can be used as a task in Custom Projects to greatly improve the development efficiency of strategies.
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Votes +3
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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: +3
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