4.130 RC2 , TaskBlock Remove correlated Strategies

Hi,

I think a taskblock to remove the correlated strategies will be helpfull.
I know there is a mechanism in generation implemented.


But most time I do first filtering, or I use some old strategies from harddisk.
Or I get some strategies from a friend.


So I can integrate all these strategies in my workflow.


Taskblock example:
Remove correlated strategies
input parameter: max correlation
input parameter: Remove lower profit, Remove lower RetDD, Remove lower Stability


thomas

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  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

t
#1

tnickel

13.12.2020 13:26

Task created

t
#2

tnickel

13.12.2020 13:27
Voted for this task.
h
#3

hankeys

13.12.2020 15:57
requested many moths ago - the "fit to portfolio" is not a good solution - so i have made new request month ago - https://roadmap.strategyquant.com/tasks/sq4_7341

Votes: +2

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