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correlation strategy filter

I can't imagine how it should look or should be added but I think it would be a very useful tool (filter) that automatically filters out strategies that are too much correlated.
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  • Votes +8
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

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Rr
#1

Partizanas

07.02.2019 12:53

Task created

HH
#2

Hans

08.02.2019 09:51
Filtering out may be too much of a good thing.
But if you give the idea a chance and continue, it is helpful to implement a function that evaluates correlations between currency pairs. Then there is an approach for correlation strategy.
RL
#3

rickliao

08.02.2019 13:50
Voted for this task.
N
#4

nathan

08.02.2019 14:39
Voted for this task.
m
#5

mikeyc

13.02.2019 21:59
I would love to see a correlation filter.


I would like to see this for example as a filter in the retester (strategy filtering conditions), so that each strategy is evaluated, and if it is correlated to other strategies, then the lowest fitness strategies that exceed the correlation are marked as FAILED (or deleted if user has ticked this checkbox).


This way the weakest similar strategies can be identified, and only strong strategies with low correlation remain.

m
#6

mikeyc

13.02.2019 21:59
Voted for this task.
LC
#7

lubinecko2603

15.02.2019 10:00
Voted for this task.
l
#8

Loonly

18.02.2019 23:59
Voted for this task.
OS
#9

trader4711

19.02.2019 12:24
Voted for this task.
m
#10

Martin

27.02.2019 07:19
Voted for this task.
D
#11

Dave-S8

01.10.2020 14:40
Voted for this task.
MF
#12

Mark Fric

20.10.2020 14:36

Status changed from New to Fixed

there will be functionality for this in build 130
Votes: +8

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