Automatic correlation check for custom projects

The issue is as follows:

Let's say I have more than 50 uncorrelated strategies in my portfolio and I want to replace one that has 'died' or I want to look for new fresh strategy that is uncorrelated with my portfolio. At this moment in time I'm wasting a lot's of computing power to generate and filter out robust strategies only to see that most of them are strongly correlated with the main portfolio and are useless...

So we need to have a new custom project step called 'correlation check' that will automatically check if generated strategies are correlated to the main portfolio and will filter out only the uncorrelated systems for further testing.

I hope the idea is clear....
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  • Votes +6
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

History

Kc
#1

coensio

24.12.2019 10:25

Task created

Kc
#2

coensio

24.12.2019 10:26
Voted for this task.
Rr
#3

Partizanas

24.12.2019 11:23
Voted for this task.
t
#4

tnickel

25.12.2019 11:15
Voted for this task.
JK
#5

Insanity82007

02.01.2020 08:31
Voted for this task.
l
#6

ludvick

16.03.2020 11:03
Voted for this task.
BS
#7

BobS

14.04.2020 15:33
Voted for this task.
MF
#8

Mark Fric

26.10.2020 11:30

Status changed from New to Fixed

there will be new "Fit to portfolio" functionality in Build 130
t
#9

tnickel

27.10.2020 11:05
I need version Build 130

Votes: +6

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