Search found 2 matches

by aj1
Wed Jul 21, 2010 10:39 am
Forum: Testing and Simulation
Topic: Correlation Matrix:
Replies: 11
Views: 8765

Thank you sluggo & babelproofreader, for your comments & response. I am perhaps guilty of not making my question clear. My question is: I am putting some serious thoughts to portfolio composition whilst I develop a system to trade a collection of Futures instruments. The portfolio consists o...
by aj1
Wed Jul 21, 2010 5:49 am
Forum: Testing and Simulation
Topic: Correlation Matrix:
Replies: 11
Views: 8765

Correlation Matrix:

Correlation Matrix:

So I have a portfolio of say 6 instruments. I am interested in looking at their correlation matrix. Can someone please tell me how I can produce a correlation matrix for these 6 instruments – thanks.