Data analysis – how to calculcate correlation?

• 04/13/2019 at 5:42 PM #96363
  jebus89

  So if you have 10 systems, and you want to create a portfolio of the top 5 least correlated systems, how would you calculate the correlation?

  lets say they are all on different timeframes and some might wait 1 day or 1 hour or 1 week before doing its next trade so obviously dates would have to be involved somehow.

  

  jebus89

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  04/14/2019 at 7:18 PM #96423
  Nicolas

  We want to test the correlation of the data series, so if you have 3 systems that trades almost always at the same time, they are surely correlated somehow.. So in order to get the most from the correlation analysis, we should add time into the equity data series as the primary coordinate and not with trade numbers. Hope i’m clear 🙂

  

  Nicolas

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  04/15/2019 at 7:17 PM #96533
  jebus89

  Hi Nicolas, yes this is what im thinking as well, im just not sure how to treat systems where 1 system might have 1000 trades and another might have 500 in the same amount of time.

  Should i for example use “correlation per weekly gain/loss”?

  

  jebus89

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