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Correlation full period and out of sample wrong

i load report 66 strategy gdax and changed manually in Analyze/add out of sample period a 66 strategy, after build portfolios and low correlation per week and month full period and OOS period. When charge strategy in sqx merged portfolio strategies high correlated periods.
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correlation oos bad.png
correlation oos bad.png
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  • Votes +3
  • Project QuantAnalyzer
  • Type Bug
  • Status Refused
  • Priority Low

History

AT
#1

AngelTalavera

19.02.2021 22:59

Task created

AT
#2

AngelTalavera

19.02.2021 23:10
Voted for this task.
g
#3

geektrader

21.02.2021 11:27
Voted for this task.
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#4

Martin

21.02.2021 15:43
Voted for this task.
TT
#5

Tamas

22.03.2021 09:32

Status changed from New to Refused

Attachment image-1.png added

image-1.png
image-1.png
(722.61 KiB)

ok, I see what is the problem. 

The new columns Correlation Hour/Day/Week/Month added in the last version of QA work only for "Compare results".

These columns are displaying correlation of computed portfolios generated by this feature.


In Portfolio Master, correlation can be limited via "Correlation Settings dialog".

Votes: +3

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