Correlation between Combination Strategy children?
Author: adgenor
Creation Date: 8/16/2017 3:29 PM
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adgenor

#1
Is there a way visualize the correlation between strategies used in a Combination Strategy ? Is there any Performance Visualizer that shows it ?
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Eugene

#2
Unfortunately, such visualizer does not exist.
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adgenor

#3
Ok. Can I access or create a DataSeries with periodical returns for each children strategy ? I have seen that it's possible to calculate correlation between DataSeries through Wealth-Lab.
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Eugene

#4
Yes, you can access the Combo Strategy child DataSeries - but only inside a Performance Visualizer (as opposed to a Strategy where it's not possible).
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Eugene

#5
Good news. A new performance visualizer will show correlation matrix between strategies in a Combination Strategy. Look forward to v2017.11 of MS123 Visualizers.
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Eugene

#6
You asked, and Wealth-Lab listened. I'm excited to present this "Combination Correlations" visualizer that does exactly what you requested:

Online user guide in the Wiki
Extension - Direct installation link
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Eugene

#7
What's new in v2017.12?

* Fix: Combination Correlations: in "Highest correlated child strategy pair", the first strategy name was incorrect (always the first). This was a cosmetic issue only, the results table wasn't affected.
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MustPlayOptions

#8
Hi,

I have downloaded the extension but don't see the combination correlations tab in the combination strategy window.

I read the wiki and there isn't anything that says it's no longer available.

Any ideas please?
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Eugene

#9
Hi,

Two ideas:

1. As says the Wiki in the first sentence, This performance visualizer applies to Combination Strategies. Not rules or code-based per se - only to this type of Strategy.

2. And as the Wealth-Lab User Guide suggests, a performance visualizer first has to be enabled in Wealth-Lab's Preferences > Performance Visualizers before it would apply to a newly open (Combination) Strategy window.

Hope this helps.
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MustPlayOptions

#10
Perfect, thank you!

I was missing step 2.

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rbryant

#11
Dear Cone and Eugene

The combination correlation tab doesnt seem to be working properly anymore. I have it turned on in Preferences. It is showing muddled numbers - see the image below (click link):



I am on Windows 10, 1920x1080 resolution. I tried quite a few other resolutions also. It used to work (6 months ago).

Thanks and regards

Rod
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Eugene

#12
Rod, please avoid external photo hosters. Instead, simply use attachments: all it takes is to click "Add Attachments" before you click "Post". I've fixed your broken link so you're seeing the attachment which will not die away as it happens with image hosters every time. Thanks.

Now to the issue. I seen this a couple times before. To work around this cosmetic issue, try to reopen the Strategy window (and rerun the backtest) and/or simply maximize/restore it or change its size. Something like this always fixed it for me when it occurred. Sorry but I have no silver bullet.
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rbryant

#13
Hi Eugene

Thanks. I assumed the buttons for the image links were there to be used:). OK, in the future I will add an attachment.

I have closed WL, reopened, rerun several backtests, changed the window size multiple times, and maximised and restored. No effect. Now it is even funkier (see attached). Can this not be fixed somehow please? It is very useful when it is working.

Thanks and regards

Rod

PS: If I click on each cell I can read it (as the color changes), so it is usable with that manual action, but there is a bug there.

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Eugene

#14
Sorry Rod, not sure where the trouble with the DataGridView on your PC may be coming from. Most likely it's your graphics driver thing (notice the Home Page tool as background that should not be there). I cannot duplicate it right now. When I occasionally encountered it before, a redraw/resize fixed it.



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rbryant

#15
OK thanks Eugene.
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Eugene

#16
Rod, I was able to reproduce the issue which is caused by including heavily losing systems for example. In your case such may be the "SPY_Pred_trend" and "SPY_Pred_short_trend". Look for a fix in upcoming build. Thanks for the heads-up.
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