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