Topic: Correlation calculations correct?
What is the correlation formula used to calculate correlation between strategies?
EA Studio seems to think that the above strategies are correlated. The correlated setting is set to .98 meaning the strategies should basically be identical but a quick visual inspection of the equity curves indicates otherwise.
Furthermore if I remove strategy 7.3 it removes the correlation for for 4.1, 7.1 and 7.2 indicating that those strategies are correlated to 7.3, but not each other. This leaves a total of 5 strategies.
However if I let EA Studio handle the removal of correlated strategies automatically, it deletes the 4 "correlated" strategies leaving me with a total of 2 strategies.
Why does EA Studio think the 4 strategies are correlated?
What are the 4 strategies correlated to?
Why does EA Studio remove the 4 strategies instead of just removing the 7.3, leaving me with more strategies. If the strategies are in my collection it means they have met my acceptance criteria. And if they met my acceptance criteria I want more of them, not less.
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