Portfolio master - custom correlation not working correctly

Dear developers, 



I have attached custom snippet (just copy of ProfitLoss.java and  changed for Loss). Saved in this path: C:\QuantAnalyzer4\extend\Snippets\com\strategyquant\extend\CorrelationOf


In tab "Analyze", tab "Portfolio correlation" attached two strategies show monthly LossPipsDD correlation 0.74. 


However when I want to use PortfolioMaster, it dismiss these two strategies. Reason is that correlation is 0.36, which is different from tab "Analyze". 


Please can you check if its bug, or might be that I did mistake in some point? 


Thank you in advance for your time and help



Attachments
GJ_D1_Strategy 11102.sqx
(251.09 KiB)
GJ_D1_Strategy 11104.sqx
(202.28 KiB)
LossPipsDD.java
(2.59 KiB)
QA_Analyze_PortfolioMaster - not correct.png
(124.94 KiB)
QA_Analyze_PortfolioCorrelation - correct.png
(77.76 KiB)
  • Votes +1
  • Project QuantAnalyzer
  • Type Bug
  • Status New
  • Priority Low

History

FB
#1

TROBO

19.04.2023 14:59

Task created

E
#2

Emmanuel

20.12.2023 19:42
Voted for this task.

Votes: +1

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