Automatic Correlation Filter Task by criteria

I want suggest what I think that would be very useful for SQX community. We face a problem with high correlation of final strategies and we have to filter manually according some criteria, deleting the correlated with lower RRDD for example.


So, I sugest to create a automatic correlation filter task that will filter strategies based on some criteria definided by the user. The criteria can be whatever stat column selected by user, for example, RRDD.


I thought the following steps for the automatic task:


1-  The user define the limit correlation acceptable.
2 - Select as reference strategy the first ranked strategy according the stat selected by the user.
3 - Compute the correlation between the reference strategy and the other strategies in databank.
4-  Check if there are strategies correlated with the reference strategy. If exists strategies correlated and they have lower rank than reference strategy, mark them with "Failed" strategies. 
5-  Select next ranked strategy (if it was not marked as failed) as reference strategy and repeat step 2 to 4 and continue this loop with all strategies.


Thanks.