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Combination Strategy: Correlations

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This performance visualizer applies to Combination Strategies. Its purpose is to show a correlation matrix of Combination child strategies' equity curve.

It's known that a robust portfolio of systems should contain strategies that are negatively correlated to each, or at least are in a slightly positive correlation. You might want to use this visualizer to increase robustness and avoid locking capital in systems that essentially duplicate each other.

Correlation period is configurable (252 bars by default). Enter a desired period (no bigger than the data loading range) to recalculate the correlation matrix on-the-fly. Likewise, selecting correlation method (Excel correlation by default or Kendall Tau Rank) will rebuild the matrix.

Combination Correlations

Combination Correlations


Known issues

  • The first strategy's name in the "Highest correlated strategy pair" is incorrect (always the first strategy's name). The issue is cosmetic and does not affect the results table. To be fixed in v2017.12

  • If you experience artifacts in the table, minimize and restore the Strategy window to redraw it correctly.

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