Home Forums Historical Data Use of Historical data & Data Horizon Reply To: Use of Historical data & Data Horizon

#66516
User Avatarrichard
Participant

Hi Asser.  This is what Popov says regarding the correlation setting:

(Hope it is OK to copy and paste his remarks here….)

“The Correlation shows how equally trade two strategies. It compares the Balance lines of the  strategies for the complete testing period.

A correlation coefficient of 1 means that two strategies have absolutely equal balance lines. It is possible to have strategies with different trading rules to rise very similar signals and we want to eliminate such cases.

When the Correlation analysis is on, it checks every strategy pushed to the Collection against all other included strategies. If the program finds that two strategies has correlation greater than the set value, it marks them as correlated. EA Studio removes the strategy with the the lower profit in such cases.

For example, a Correlation Coefficient of 0.96 means that the strategies differ by 4 percent.”

 

This week I am running some side by side tests to compare .9 vs .98 correlation….  At this stage .9 is about 20 – 30 % more profitable then .98 and tends to open approx 20% more trades, but early days yet obviously……

The top 5 vs top 10:  Top 5 seems to out perform Top 10 by about 30% across a dozen test variations I have run over the last 3 weeks…. (this means that you are doubling position size on the top 5 obviously to give you the same margin % / risk as the top 10.)

Without getting to far ahead……  You might want to look at lot size for each pair regarding ADR.  I am running some tests with fixed lot size (.03) vs variable (.01 – .08) depending on expected return for the week from each portfolio of 10.  Again I am always looking for balance and smooth equity line.  So that each pair is delivering a relatively even contribution to the overall system regardless of ADR…..

 

Shopping Cart