meta user
network profile
| bio | website | |
|---|---|---|
| location | Canada | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 10 hours ago | |
| stats | profile views | 48 |
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Apr 21 |
asked | Targeted Return |
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May 11 |
comment |
Minimizing Correlation thanks bill and chrisaycock for your comments! |
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May 11 |
comment |
Minimizing Correlation If the correlation between them exceed a certain threshold, i will skip it. This is only my initial answer to my problem of reducing correlated trades. As a trend follower, I need to be exposed to as much market as possible so as to take advantage whenever any one of them explode. Any advise would be great! Thanks! |
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May 11 |
comment |
Minimizing Correlation I currently trade a basket of currencies which have correlation between them to a certain extent. As I know that correlation is ever changing, I can only minimize it through gut feeling. This approach gives me unease as gut feeling is not something that should be counted upon in the long run. To test whether minimizing correlation, I have, in the past few days, come up with a idea of systematically monitor trades. I always take the first signal of trading system. If another signal is generated in X days after, I will calculate the correlation between them for the past Y days. Will need test. |
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May 9 |
asked | Minimizing Correlation |
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May 8 |
comment |
How can I select the least correlated portfolio of assets? Thanks so much for your answer. How do I go about estimating the variance matrix? My assets are currency pairs and cross pairs. Given a set of data series for the pairs i am using, do I calculate the standard deviation and square it? After do I calculate the correlation combination between each pair? I got the idea from this video...is this correct? youtube.com/user/bionicturtledotcom#p/u/235/35NWFr53cgA Sorry for the newbie question! |
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Feb 16 |
comment |
How can I select the least correlated portfolio of assets? Yes, that's more clear! |
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Feb 15 |
asked | How can I select the least correlated portfolio of assets? |
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Feb 13 |
asked | System Development / Optimization |
