Increasing position diversity by removing too correlated Positions

Author: Carova

Creation Date: 6/14/2017 4:49 PM

Wealth Lab » WealthScript (.NET) » Increasing position diversity by removing too correlated Positions

Carova

6/14/2017 4:49 PM

I would like to decrease the correlations among my positions during a backtest. Short of rewriting the strategy as a rotation, is there any way to test and remove positions or avoid Buys that are "too correlated" with existing positions? Thanks!

Vince

Eugene

6/14/2017 4:53 PM

Vince, you seem to be familiar with Correlation. What presents difficulty?

Carova

6/14/2017 4:56 PM

How do I access positions in the other symbols from the current symbol in a non-rotation strategy?

Vince

Eugene

6/14/2017 5:21 PM

Only by rewriting it as a Strategy that loops by DataSetSymbols.

And although removing existing Positions would not be an option, you could test for too positively correlated Positions in a custom PosSizer and avoid corresponding entry signals.

Carova

6/14/2017 5:29 PM

Thanks Eugene! That is what I thought. I will re-write the strategy as a Rotation and compare it to your suggestion of the loop. It is just that on a Daily strategy any of those loops really slow down optimizations.

Vince