Please add Correlation Filter to Retester Project tasks
Please add the "Fit to existing portfolio" filter to retester project tasks (Retest Strategies and Automatic Retest).
This will be immensely useful to have a batch of the fittest, most uncorrelated strategies possible before exporting to QA and building portolio's in portfolio master.
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Votes +8
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Project StrategyQuant X
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Type Feature
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Status Fixed
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Priority Normal
History
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hankeys
05.04.2021 20:51
many times requested something similar like correlation filter task, or whatever
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Mark Fric
20.06.2022 09:01Status changed from New to Fixed
fixed in 136 Dev 2 - it will be made as an example of custom plugin.
The plugin will add one more action for databank - Filter correlated strategies, and it will delete too correlated strategies from databank.
There will be an article about how this works - the functionality is based on work of user from coding session.
Votes: +8
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