Data analysis – how to calculcate correlation?

jebus89 · 2019-04-13T16:42:20+00:00

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.

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04/13/2019 at 5:42 PM #96363 quote

jebus89
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Master

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.

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

Nicolas
Keymaster

Legend

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 🙂

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

jebus89
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Master

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”?
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Data analysis – how to calculcate correlation?

General Trading: Market Analysis & Manual Trading

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This topic contains 2 replies,
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Topic Details

Forum:	General Trading: Market Analysis & Manual Trading
Language:	English
Started:	04/13/2019
Status:	Active
Attachments:	No files