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Does this graph show the magnitude of the difference in movement? The straighter, the more correlated?
Does this graph show the magnitude of the difference in movement? The straighter, the more correlated?
The closer to 100%, the more correlated. These are the ones you need to start truncating with.
I am currently being offered this by autosampling, but need to review everything manually, where the most optimal ones are and where there are no positions yet
There is information on correlationhere , including an interactive table.
The closer to 100% - the more correlated. These are the ones you need to start truncating with.
I've got autosampling suggesting this now, but need to go over everything manually, where the most optimal ones are and where there are no positions yet
oh, thank you!
Oh, thank you!
Here are more copies, you can find more to go with them, Yusufu can remove a few and leave one
Vitaly, cool! Thank you.
Alternatively, we can add a block for checking correlations instead of truncating pairs.
The principle is simple: a position is opened, a signal to open another one is received, we check the correlation, if more than 80%, we do not open this pair until it closes at that one.
When several positions are opened, we gather all the open ones into an array and, when a signal is received, substitute them one by one and check if the position already opened has the correlation of more than 80%.
This way is better and easier than truncating pairs.
So I'm serious. I haven't done dependency studies or trading correlations. And I hang EAs on every pair, like Yusuf, where the eye falls ;).
Now I want to know how to do it right and get rid of doubles.
A small error can manifest itself in a completely unexpected way.
I'm not talking about a property of the system (its inertia, etc.), but about the implementation of the algorithm in the code.
Yeah, that's right.
Yeah, all of Wall Street is rallying to the hunt for 50 quid in unprecedented ways.