Correlation issue with Portfolio merged to singel startegy

By misstake i found the following.  I had loaded strategies twice in SQx and got the _(1) addon  and then save them.  Now i had build a portfolio using the same strategies but wanted to improve it by adding more so i Merge the portfolio to single strategy and ran it again. Now even with the correlation setting of 0.3 i had 10 new strategies added that already was in the  merged portfolio without the _(1) which have a correlation of 1. I found out first trading them on real account since i had them 4 of them taking the same trade !. You owe me many Beers now :)
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  • Votes 0
  • Project QuantAnalyzer
  • Type Bug
  • Status Fixed
  • Priority Low




02.04.2020 12:11

Task created



02.04.2020 16:20
but merged portfolio could have low correlation with added strategies....

merged portfolio behave as a single strategy



02.04.2020 17:19
Yes that has been my thought aswell. Maybe i had to many strategies in the databank and it flipped out or maybe the merged portfolio had to many trades or maybe it was beceause i still had the merged singel strategies still in the databank which i did. Donno but it happend and my portfolio have strategies wich are identical because of this. At two previous occasion during last 3-4 years i have complained about correlation issues which destroys portfolios perfromance when trading live and you have to manually correct remove  rezise portfolios during live trading because you trusted that QA result was correct. Both times it was first said that it was already working correct but then later it was fixed and the last bug find it was a great improvement. However this is difficult and correlation is changing by market condition but this might be bug need to be looked into since in current version of QA it is difficult to impossible to work with many strategies and you need to split them up i smaller portfolios and work with those.


03.04.2020 08:52
imagine that you are computing monthly correl - its obvious that monthly profit/loss will be different for only 1 single strategy and for the whole portfolio as it is merged to a single strategy

solution is only one - rewrite the correlation compution for merged portfolio so the correlation will be computed for single strategies in it



01.06.2020 12:03

Status changed from New to Fixed

PM tab will be improved in the new QAX version

Votes: 0

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