equity stream correlation

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
Chris67
Roundtable Knight
Roundtable Knight
Posts: 1052
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

equity stream correlation

Post by Chris67 »

Is it fair to ssume that if we mix up systems using 1.5 that give good overall performance that its worth running the systems individually over thesame test period to ensure the 2 systems are not correlated in terms of monthly performance ?
I have combined 2 systems that give me good results and when I break down the monthly returns for each system the correlation is 0.3 which to me seems good to run with .. does anybody have a view on this topic or the likely point of statistical significance for equity stream analysis ?

Thanks
C
Top
edward kim
Roundtable Knight
Roundtable Knight
Posts: 344
Joined: Sun Apr 20, 2003 2:42 pm
Location: Silicon Valley / San Jose, CA USA
Contact:
Contact edward kim

Post by edward kim »

I do things the other way: I develop standalone systems first, and when they have performance stats that I like, I then start mixing systems.

Edward
Top
Post Reply

Return to “Testing and Simulation”