QA Portfolio Master the correlation filter able to exclude OOS part
example set the filter correlation 0.3, the system will take whole IS and OOS to filter the correlation. Here I think if We set 100% IS then the system is
filter Full IS part, if We set 50% of IS, then the system should filter only 50% of IS part, not 100% of full data.
So here hope the system can make it more advance and convenient to check if We set 50%, and the system can really just filter only this 50% IS data with
filtering the correlation. Thank you. Wish you have a nice day.
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Votes +5
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Project QuantAnalyzer
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Type Feature
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Status New
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Priority Low
History
kbtech
30.12.2022 17:40
Jackson
31.12.2022 06:58Subject changed from QA Portfolio Master the correlation filter able to exclude IS part to QA Portfolio Master the correlation filter able to exclude OOS part
Description changed:
example set the filter correlation 0.3, the system will take whole IS and OOS to filter the correlation. Here I think if We set 100% IS then the system is
filter Full IS part, if We set 50% of IS, then the system should filter only 50% of IS part, not 100% of full data.
So here hope the system can make it more advance and convenient to check if We set 50%, and the system can really just filter only this 50% IS data with
filtering the correlation. Thank you. Wish you have a nice day.
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