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....