B131 Dev4: Fit to existing portfolio filter (Correlation Filter) does not work when using cross checks
As per attached images and project. When using cross checks (higher precision + other market) the databank correlation filter (Fit to existing portfolio filter under Ranking tab) no longer works.
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Votes +5
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Project StrategyQuant X
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Type Bug
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Status Fixed
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Priority Urgent
History
JK
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JK
Insanity82007
05.04.2021 15:53
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Mark Fric
06.04.2021 15:25Status changed from In progress to Waiting for information
please clarify where is the bug.
I think this is not error. Fit to portfolio works only with main backtest, not with crosschecks (additional markets, higher precision).
So it computes and filters correlation only between main backtest of generated strategy and strategies in "Existing" databank
JK
Insanity82007
06.04.2021 22:17The issue is with the main backtest.
In the image with the mini equity curves, these relate to the main backtests for those BB strats.
Cheers
TT
Tamas
10.05.2021 21:07
Can you please explain it more ? What is the problem exactly, I cannot see it.
Please note that Fit to portfolio works only with main backtest!
Update: Don't forget to attach the problematic strategies to reproduce the problem.
TR
TT
Votes: +5
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