Normal correlations among system results are not at all useful in creating a diversified portfolio,
i.e. finding complementary equity streams to reduce drawdowns and maximise Profit/DD ratio.
A practical and correct approach is to calculate correlations of closed-trade equity in a drawdown ("under water") (trade or period-based) and of "negative" days/weeks/months (to be user selectable).
Adding these reports would turn Portfolio Trader into a very powerful tool for money managers.
https://www.multicharts.com/pm/public/m ... es/MC-2252
Please VOTE: Portfolio Trader: Equity Drawdown Correlations
Questions about MultiCharts and user contributed studies.
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