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Open Feature request MC-2252

Portfolio Trader: Equity Drawdown Correlations

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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 practically useful 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 powerfull tool for money managers.

Comments (1)
user-offline.png  Zheka (Zheka)
02 de oct de 2017 - 12:14

Is there any news on the next steps?

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    user-offline.png  Zheka (Zheka)
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