Automated selection of strategies with low correlation

Hi Everybody!


I think it vould be a great feature, if the SQX could select automatic the low correlated strategies.
Let say I have 2500 strategies went through some basic filtering. And let say I just want to continue working with them, where the correlation is below X value.


Actually we can work good with correlation in Quant Analyzer, but the hole process is very time consuming. We have to make first a lot of MT4 backtesting (for each strategy), which is very slow. Then we have to load the reports in QA...


It would be great if this function would be already integrated in SQX and we would not have to generate the individual reports in MT4. We could save a lot of time.


Best regards: Csaba

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  • Votes +3
  • Project StrategyQuant X
  • Type Feature
  • Status Archived
  • Priority Normal
  • Assignee None
  • Milestone Archived (To be done later)

History

l
#1

Csaba

12.11.2018 16:06

Task created

h
#2

hankeys

12.11.2018 16:38
compute correl matrix for too many strategies is useless - you will have over 6 mil. combinations - but lets say, you will have 2 strategies with big correlation and you want to keep only one - which? the simplest one? the one with max RDD? the robust one? how do you compute robustnest?


so my opinion is this - you need to make only tens of final strategies - save them to STR file, put these files to QA and delete the duplicities by correlation matrix by han

b
#3

bentra

12.11.2018 18:49
Voted for this task.
m
#4

mikeyc

13.02.2019 22:01
Voted for this task.
MF
#5

Mark Fric

16.02.2020 13:52

Status changed from New to Archived

L
#6

Lumen2730

08.11.2020 19:59
Voted for this task.

Votes: +3

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