Correlation calculation

Hi,

I can confirm that there's something wrong with the Correlation calculations. I've taken two strategies generated by SQX calculated their correlation, next I saved these 2 strategies on STR format and loaded them in QA to calculate their correlation. According to SQX correlation is 0,71. According to QA correlation is 0,12. You can see the results on the attached files. I attach the STR files as well and I'm going to send you by email the SQX files.
Which Correlation calculation is non-reliable; QA os SQX?
The QA function 'Portfolio Master' is really useful. If QA is non-workable anymore with the strategies coming from SQX is serious handicap
Attachments
Correlation with SQX.png
(67.89 KiB)
Correlation with QA.png
(213.64 KiB)
Strategy 328164.str
(363.95 KiB)
Strategy 334116.str
(368.58 KiB)
  • Votes +22
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

o
#1

Enric

12.11.2018 20:27

Task created

DR
#2

mentaledge

12.11.2018 21:56
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lumbrjack

12.11.2018 22:30
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hankeys

12.11.2018 22:36
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bentra

13.11.2018 06:57
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nathan

13.11.2018 08:03
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13.11.2018 08:09
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mabi

13.11.2018 08:47
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#9

rickliao

13.11.2018 10:17
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#10

yusung

13.11.2018 12:40
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#11

Michele

13.11.2018 14:01
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#12

Diwi

14.11.2018 08:08
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#13

Karish

14.11.2018 14:24
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#14

ludvick

14.11.2018 23:12
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#15

mikeyc

17.11.2018 11:31
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#16

geektrader

25.11.2018 03:05
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#17

Ilya

16.12.2018 20:59
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#18

RNG

25.12.2018 15:08
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#19

Enric

30.12.2018 12:59
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KW
#20

Sean

24.02.2019 11:26
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Kc
#21

coensio

24.02.2019 11:30
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MF
#22

Mark Fric

17.07.2019 12:55

Status changed from New to Fixed

this is old task, but it is fixed. The problem was not in SQ X , but in QuantAnalyzer. We released QuantAnalyzer 4.4, where it is fixed.


The correlation now matches with SQ X.

AG
#23

Tukirito

16.02.2020 20:34
Voted for this task.
A
#24

Asoea

02.04.2024 04:47
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Votes: +22

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